Table 4. DCC-GARCH (1, 1) results... | Emerald Publishing

Table 4.

DCC-GARCH (1, 1) results

Variable	GEPU	LVOLRGEP	LVOLRGCP	LVOLRGIMP	DCC-GARCH
ARCH (α)	0.190 (0.000)	0.317 (0.012)	0.336 (0.004)	0.314 (0.000)	0.086 (0.003)
GARCH (β)	0.762 (0.000)	0.287 (0.034)	0.530 (0.000)	0.612 (0.000)	0.820 (0.000)
α + β	0.952	0.605	0.867	0.926	0.906

Variable	GEPU	LVOLRGEP	LVOLRGCP	LVOLRGIMP	DCC-GARCH
ARCH (α)	0.190 (0.000)	0.317 (0.012)	0.336 (0.004)	0.314 (0.000)	0.086 (0.003)
GARCH (β)	0.762 (0.000)	0.287 (0.034)	0.530 (0.000)	0.612 (0.000)	0.820 (0.000)
α + β	0.952	0.605	0.867	0.926	0.906

Source: Authors’ own work