Table 3. Results derived from Diebold...

Table 3.

Results derived from Diebold and Yilmaz model (2014) for spillover

	RCOWTI	RBRL	RMXN	RZAR	RTRY	RGBP	FROM
Panel (A) – Spillover using Diebold and Yilmaz model (2014) based on full observation
RCOWTI	92.36	0.75	3.66	1.61	0.33	1.28	1.27
RBRL	0.42	59.99	15.79	15.90	0.85	7.05	6.67
RMXN	1.57	12.55	48.96	24.84	1.25	10.82	8.51
RZAR	0.57	12.35	24.82	50.01	1.84	10.40	8.33
RTRY	0.37	0.97	2.51	3.63	91.97	0.54	1.34
RGBP	0.77	7.2	15.40	13.33	1.10	62.20	6.3
TO	0.62	5.64	10.36	9.89	0.89	5.02	32.42
NET	−0.65	−1.03	1.85	1.56	−0.45	−1.28
Panel (B) – Spillover using Diebold and Yilmaz model (2014) during COVID-19
RCOWTI	89.70	1.24	4.94	2.68	0.31	1.14	1.72
RBRL	0.82	61.26	15.84	16.06	1.02	4.99	6.46
RMXN	1.92	12.48	49.31	25.09	1.24	9.97	8.45
RZAR	0.92	12.26	25.19	51.11	2.12	8.40	8.15
RTRY	0.40	1.12	2.40	4.14	91.34	0.61	1.44
RGBP	0.79	5.33	15.50	11.53	1.35	65.50	5.75
TO	0.81	5.40	10.64	9.92	1.00	4.18	31.96
NET	−0.91	−1.06	2.19	1.77	−0.44	−1.57
Panel (C) – Spillover using Diebold and Yilmaz model (2014) during Russo−Ukraine invasion
RCOWTI	88.50	1.46	0.53	2.42	0.63	6.47	1.92
RBRL	1.14	50.99	15.14	16.51	1.04	15.18	8.17
RMXN	2.97	12.71	42.89	23.30	3.00	15.12	9.52
RZAR	0.08	13.67	23.57	42.69	2.42	17.58	9.55
RTRY	0.39	3.40	4.55	1.56	89.34	0.77	1.78
RGBP	2.30	13.93	17.09	19.34	1.30	46.05	8.99
TO	1.15	7.53	10.15	10.52	1.40	9.18	39.92
NET	−0.77	−0.64	−0.63	0.97	−0.38	0.19

	RCOWTI	RBRL	RMXN	RZAR	RTRY	RGBP	FROM
Panel (A) – Spillover using Diebold and Yilmaz model (2014) based on full observation
RCOWTI	92.36	0.75	3.66	1.61	0.33	1.28	1.27
RBRL	0.42	59.99	15.79	15.90	0.85	7.05	6.67
RMXN	1.57	12.55	48.96	24.84	1.25	10.82	8.51
RZAR	0.57	12.35	24.82	50.01	1.84	10.40	8.33
RTRY	0.37	0.97	2.51	3.63	91.97	0.54	1.34
RGBP	0.77	7.2	15.40	13.33	1.10	62.20	6.3
TO	0.62	5.64	10.36	9.89	0.89	5.02	32.42
NET	−0.65	−1.03	1.85	1.56	−0.45	−1.28
Panel (B) – Spillover using Diebold and Yilmaz model (2014) during COVID-19
RCOWTI	89.70	1.24	4.94	2.68	0.31	1.14	1.72
RBRL	0.82	61.26	15.84	16.06	1.02	4.99	6.46
RMXN	1.92	12.48	49.31	25.09	1.24	9.97	8.45
RZAR	0.92	12.26	25.19	51.11	2.12	8.40	8.15
RTRY	0.40	1.12	2.40	4.14	91.34	0.61	1.44
RGBP	0.79	5.33	15.50	11.53	1.35	65.50	5.75
TO	0.81	5.40	10.64	9.92	1.00	4.18	31.96
NET	−0.91	−1.06	2.19	1.77	−0.44	−1.57
Panel (C) – Spillover using Diebold and Yilmaz model (2014) during Russo−Ukraine invasion
RCOWTI	88.50	1.46	0.53	2.42	0.63	6.47	1.92
RBRL	1.14	50.99	15.14	16.51	1.04	15.18	8.17
RMXN	2.97	12.71	42.89	23.30	3.00	15.12	9.52
RZAR	0.08	13.67	23.57	42.69	2.42	17.58	9.55
RTRY	0.39	3.40	4.55	1.56	89.34	0.77	1.78
RGBP	2.30	13.93	17.09	19.34	1.30	46.05	8.99
TO	1.15	7.53	10.15	10.52	1.40	9.18	39.92
NET	−0.77	−0.64	−0.63	0.97	−0.38	0.19

Source: Authors’ own presentation

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