Table VI Estimate results of CCC and DCC...

Table VI

Estimate results of CCC and DCC models

	CCC			DCC
	Coefficient	t-statistic	Prob.	Coefficient	t-statistic	Prob.
μ₁	0.0797563776	3.20530	0.00134924*	0.0768442872	3.02707	0.00246938*
μ₂	0.0609335815	3.13862	0.00169748*	0.0601954860	2.73108	0.00631272*
μ₃	0.0363385172	1.75394	0.07944059***	0.0380149389	1.58589	0.11276425
μ₄	0.0528866556	2.73432	0.00625094*	0.0527164718	2.57050	0.01015530**
μ₅	0.0079614547	0.52138	0.60210523	0.0099456350	0.64669	0.51783052
c(1)	0.0546931428	4.77410	0.00000181*	0.0307128299	3.56543	0.00036325*
c(2)	0.0266018780	5.41338	0.00000006*	0.0148710299	4.24934	0.00002144*
c(3)	0.0523474363	5.59595	0.00000002*	0.0292440069	4.47998	0.00000747*
c(4)	0.0554420934	6.48233	0.00000000*	0.0513266053	5.48211	0.00000004*
c(5)	0.0147910732	5.32985	0.00000010*	0.0105073929	4.01356	0.00005981*
a(1)	0.0749088960	6.79133	0.00000000*	0.0776578626	6.59866	0.00000000*
a(2)	0.0426568511	7.59083	0.00000000*	0.0501821882	8.90060	0.00000000*
a(3)	0.0799602157	7.26966	0.00000000*	0.0832184317	8.29212	0.00000000*
a(4)	0.2402567392	16.58626	0.00000000*	0.2465209994	10.19657	0.00000000*
a(5)	0.1071641940	9.35041	0.00000000*	0.1141903715	9.27744	0.00000000*
b(1)	0.8974772593	62.91123	0.00000000*	0.9167198744	74.75856	0.00000000*
b(2)	0.9344069830	115.40540	0.00000000*	0.9431915321	154.39916	0.00000000*
b(3)	0.8816726473	59.85706	0.00000000*	0.9092090825	87.72779	0.00000000*
b(4)	0.7601901464	56.01244	0.00000000*	0.7665307271	40.26037	0.00000000*
b(5)	0.8769939544	74.86007	0.00000000*	0.8892809469	82.56190	0.00000000*
r(2,1)	0.5475020116	38.23011	0.00000000*	–	–	–
r(3,1)	0.5234915621	34.62113	0.00000000*	–	–	–
r(3,2)	0.6060293352	43.81264	0.00000000*	–	–	–
r(4,1)	0.1413728602	7.51260	0.00000000*	–	–	–
r(4,2)	0.1519891327	7.51281	0.00000000*	–	–	–
r(4,3)	0.1798502537	9.27228	0.00000000*	–	–	–
r(5,1)	0.2533761563	13.86171	0.00000000*	–	–	–
r(5,2)	0.3262800433	17.83819	0.00000000*	–	–	–
r(5,3)	0.3358289152	18.32144	0.00000000*	–	–	–
r(5,4)	0.1303644778	7.40253	0.00000000*	–	–	–
α	–	–	–	0.0126180618	6.42334	0.00000000*
β	–	–	–	0.9840458675	362.78222	0.00000000*
Model diagnostics
ARCH LM	1,941.11		0.0078	1,941.26		0.0026

	CCC			DCC
	Coefficient	t-statistic	Prob.	Coefficient	t-statistic	Prob.
μ₁	0.0797563776	3.20530	0.00134924*	0.0768442872	3.02707	0.00246938*
μ₂	0.0609335815	3.13862	0.00169748*	0.0601954860	2.73108	0.00631272*
μ₃	0.0363385172	1.75394	0.07944059***	0.0380149389	1.58589	0.11276425
μ₄	0.0528866556	2.73432	0.00625094*	0.0527164718	2.57050	0.01015530**
μ₅	0.0079614547	0.52138	0.60210523	0.0099456350	0.64669	0.51783052
c(1)	0.0546931428	4.77410	0.00000181*	0.0307128299	3.56543	0.00036325*
c(2)	0.0266018780	5.41338	0.00000006*	0.0148710299	4.24934	0.00002144*
c(3)	0.0523474363	5.59595	0.00000002*	0.0292440069	4.47998	0.00000747*
c(4)	0.0554420934	6.48233	0.00000000*	0.0513266053	5.48211	0.00000004*
c(5)	0.0147910732	5.32985	0.00000010*	0.0105073929	4.01356	0.00005981*
a(1)	0.0749088960	6.79133	0.00000000*	0.0776578626	6.59866	0.00000000*
a(2)	0.0426568511	7.59083	0.00000000*	0.0501821882	8.90060	0.00000000*
a(3)	0.0799602157	7.26966	0.00000000*	0.0832184317	8.29212	0.00000000*
a(4)	0.2402567392	16.58626	0.00000000*	0.2465209994	10.19657	0.00000000*
a(5)	0.1071641940	9.35041	0.00000000*	0.1141903715	9.27744	0.00000000*
b(1)	0.8974772593	62.91123	0.00000000*	0.9167198744	74.75856	0.00000000*
b(2)	0.9344069830	115.40540	0.00000000*	0.9431915321	154.39916	0.00000000*
b(3)	0.8816726473	59.85706	0.00000000*	0.9092090825	87.72779	0.00000000*
b(4)	0.7601901464	56.01244	0.00000000*	0.7665307271	40.26037	0.00000000*
b(5)	0.8769939544	74.86007	0.00000000*	0.8892809469	82.56190	0.00000000*
r(2,1)	0.5475020116	38.23011	0.00000000*	–	–	–
r(3,1)	0.5234915621	34.62113	0.00000000*	–	–	–
r(3,2)	0.6060293352	43.81264	0.00000000*	–	–	–
r(4,1)	0.1413728602	7.51260	0.00000000*	–	–	–
r(4,2)	0.1519891327	7.51281	0.00000000*	–	–	–
r(4,3)	0.1798502537	9.27228	0.00000000*	–	–	–
r(5,1)	0.2533761563	13.86171	0.00000000*	–	–	–
r(5,2)	0.3262800433	17.83819	0.00000000*	–	–	–
r(5,3)	0.3358289152	18.32144	0.00000000*	–	–	–
r(5,4)	0.1303644778	7.40253	0.00000000*	–	–	–
α	–	–	–	0.0126180618	6.42334	0.00000000*
β	–	–	–	0.9840458675	362.78222	0.00000000*
Model diagnostics
ARCH LM	1,941.11		0.0078	1,941.26		0.0026

Notes: This table shows the estimates of the multivariate GARH CCC and DCC models. 1, 2, 3, 4 and 5 denote, respectively, Hungary, Poland, Czech Republic, Romania and Croatia. The parameters a_i, b_i and r_ij are the off-diagonal elements of the matrices A, B and R, respectively, as presented in Section 2. *,**Significant at 1 and 5 percent levels, respectively

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