Table 5 Extracts from regression results...

Table 5

Extracts from regression results of the multivariate Vec threshold GARCH-Mean model

R_A			R_D			R_F
	Coefficient	Prob		Coefficient	Prob		Coefficient	Prob
H_A	−1.6802	0.4041	H_D	4.0144	0.7079	H_F	1.8292	0.5179
H_AD	18.8374	0.1452	H_DA	4.0390	0.7971	H_FA	2.1379	0.5952
H_AF	3.3363	0.2284	H_DF	0.2770	0.9972	H_FD	86.3586	0.1325
H_AL	4.6471	0.1416	H_DL	2.8863	0.8755	H_FL	1.2535	0.8170
H_AM	−5.7668	0.3456	H_DM	−1.4385	0.9874	H_FM	6.1053	0.5606
H_AS	4.0594	0.8730	H_DS	−21.1824	0.3270	H_FS	−8.7660	0.5573
H_AU	4.0855	0.3804	H_DU	−14.5880	0.8587	H_FU	−5.2407	0.4082
H_AZ	−1.8511	0.5686	H_DZ	6.3393	0.7057	H_FZ	−3.6840	0.3221

R_A			R_D			R_F
	Coefficient	Prob		Coefficient	Prob		Coefficient	Prob
H_A	−1.6802	0.4041	H_D	4.0144	0.7079	H_F	1.8292	0.5179
H_AD	18.8374	0.1452	H_DA	4.0390	0.7971	H_FA	2.1379	0.5952
H_AF	3.3363	0.2284	H_DF	0.2770	0.9972	H_FD	86.3586	0.1325
H_AL	4.6471	0.1416	H_DL	2.8863	0.8755	H_FL	1.2535	0.8170
H_AM	−5.7668	0.3456	H_DM	−1.4385	0.9874	H_FM	6.1053	0.5606
H_AS	4.0594	0.8730	H_DS	−21.1824	0.3270	H_FS	−8.7660	0.5573
H_AU	4.0855	0.3804	H_DU	−14.5880	0.8587	H_FU	−5.2407	0.4082
H_AZ	−1.8511	0.5686	H_DZ	6.3393	0.7057	H_FZ	−3.6840	0.3221

R_L			R_M			R_S
	Coefficient	Prob		Coefficient	Prob		Coefficient	Prob
H_L	−0.8302	0.7709	H_M	1.4787	0.8620	H_S	1.1651	0.6222
H_LA	3.1326	0.6535	H_MA	0.5376	0.8627	H_SA	10.0740	0.8478
H_LD	8.4880	0.6008	H_MD	44.9305	0.0264	H_SD	−29.298	0.3489
H_LF	−0.1710	0.9837	H_MF	2.8956	0.3657	H_SF	7.8380	0.7077
H_LM	−2.0852	0.8815	H_ML	−5.5098	0.1530	H_SL	−2.9146	0.7854
H_LS	0.6631	0.9357	H_MS	4.0313	0.6806	H_SM	13.3791	0.8092
H_LU	−1.6364	0.8820	H_MU	−3.4993	0.5494	H_SU	−26.079	0.4949
H_LZ	−0.6510	0.9318	H_MZ	−0.8307	0.8214	H_SZ	−12.535	0.3024

R_L			R_M			R_S
	Coefficient	Prob		Coefficient	Prob		Coefficient	Prob
H_L	−0.8302	0.7709	H_M	1.4787	0.8620	H_S	1.1651	0.6222
H_LA	3.1326	0.6535	H_MA	0.5376	0.8627	H_SA	10.0740	0.8478
H_LD	8.4880	0.6008	H_MD	44.9305	0.0264	H_SD	−29.298	0.3489
H_LF	−0.1710	0.9837	H_MF	2.8956	0.3657	H_SF	7.8380	0.7077
H_LM	−2.0852	0.8815	H_ML	−5.5098	0.1530	H_SL	−2.9146	0.7854
H_LS	0.6631	0.9357	H_MS	4.0313	0.6806	H_SM	13.3791	0.8092
H_LU	−1.6364	0.8820	H_MU	−3.4993	0.5494	H_SU	−26.079	0.4949
H_LZ	−0.6510	0.9318	H_MZ	−0.8307	0.8214	H_SZ	−12.535	0.3024

R_U			R_Z
	Coefficient	Prob		Coefficient	Prob
H_U	−3.8281	0.3958	H_Z	0.0907	0.9599
H_UA	1.7262	0.7738	H_ZA	−2.7723	0.3970
H_UD	31.519	0.6216	H_ZD	9.9613	0.1890
H_UF	0.4477	0.9285	H_ZF	−0.0535	0.9850
H_UL	−2.3700	0.7190	H_ZL	1.4430	0.6966
H_UM	10.3934	0.4860	H_ZM	7.2467	0.2737
H_US	−13.941	0.6783	H_ZS	7.0806	0.2173
H_UZ	−0.8395	0.8945	H_ZU	−6.5210	0.2040

R_U			R_Z
	Coefficient	Prob		Coefficient	Prob
H_U	−3.8281	0.3958	H_Z	0.0907	0.9599
H_UA	1.7262	0.7738	H_ZA	−2.7723	0.3970
H_UD	31.519	0.6216	H_ZD	9.9613	0.1890
H_UF	0.4477	0.9285	H_ZF	−0.0535	0.9850
H_UL	−2.3700	0.7190	H_ZL	1.4430	0.6966
H_UM	10.3934	0.4860	H_ZM	7.2467	0.2737
H_US	−13.941	0.6783	H_ZS	7.0806	0.2173
H_UZ	−0.8395	0.8945	H_ZU	−6.5210	0.2040

Note(s): R_i are dependent variables while H_i and H_ij are explanatory variables in the in-mean equation and the figures are as computed by the authors

Source(s): Table by the author

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