Table 3 Estimation results from the... | Emerald Publishing

Table 3

Estimation results from the diagonal BEKK model under normal distribution and student’s t-distribution

Model (1) multivariate normal distribution			Model (2) multivariate student’s t-distribution
	Coefficient	Std. Error	Coefficient	Std. Error
Rs	0.000727***	0.000233	0.000777***	0.000206
Rb	0.000220***	4.96E−05	0.000239***	4.42E−05
	Variance equation coefficients
M(1,1)	2.08E−06***	4.14E−07	1.99E−06***	5.41E−07
M(1,2)	2.34E−07***	5.39E−08	1.71E−07***	6.59E−08
M(2,2)	1.82E−07***	3.11E−08	1.75E−07***	4.07E−08
A1(1,1)	0.296386***	0.015574	0.283690***	0.022250
A1(2,2)	0.417817***	0.018979	0.391110***	0.027008
B1(1,1)	0.944550***	0.005950	0.948058***	0.007589
B1(2,2)	0.892894***	0.009765	0.902446***	0.012494
		t-dist coef	7.11169***	0.997217
	Log likelihood	10278.98	Log likelihood	10333.92
	Avg. log likelihood	4.131423	Avg. log likelihood	4.153503
	Akaike info criterion	−16.51122	Akaike info criterion	−16.59793
	Schwarz criterion	−16.47414	Schwarz criterion	−16.55673
	Hannan–Quinn criterion	−16.49728	Hannan–Quinn criterion	−16.58244

Model (1) multivariate normal distribution			Model (2) multivariate student’s t-distribution
	Coefficient	Std. Error	Coefficient	Std. Error
Rs	0.000727***	0.000233	0.000777***	0.000206
Rb	0.000220***	4.96E−05	0.000239***	4.42E−05
	Variance equation coefficients
M(1,1)	2.08E−06***	4.14E−07	1.99E−06***	5.41E−07
M(1,2)	2.34E−07***	5.39E−08	1.71E−07***	6.59E−08
M(2,2)	1.82E−07***	3.11E−08	1.75E−07***	4.07E−08
A1(1,1)	0.296386***	0.015574	0.283690***	0.022250
A1(2,2)	0.417817***	0.018979	0.391110***	0.027008
B1(1,1)	0.944550***	0.005950	0.948058***	0.007589
B1(2,2)	0.892894***	0.009765	0.902446***	0.012494
		t-dist coef	7.11169***	0.997217
	Log likelihood	10278.98	Log likelihood	10333.92
	Avg. log likelihood	4.131423	Avg. log likelihood	4.153503
	Akaike info criterion	−16.51122	Akaike info criterion	−16.59793
	Schwarz criterion	−16.47414	Schwarz criterion	−16.55673
	Hannan–Quinn criterion	−16.49728	Hannan–Quinn criterion	−16.58244

Note(s): Rs: TA-35 returns; Rb: Tel-Bond 20 returns; Significance: ***1%; **5% and *10%. Obs.: 1,244

Source(s): Author’s own work