Volatility spillover from foreign exchange market to stock market | |||||||||
 | α0 | α1 | α2 | β0 | β2 | ф | β1 | δ | arch |
Pakistan | 0.1308* (0.0118) | 0.0904* (0.0166) | −0.0314** (0.0316) | −0.2466* (0.0106) | 0.3771* (0.0174) | −0.0735* (0.0107) | 0.9037* (0.0057) | 0.0852* (0.0101) | 1.1356 0.28 |
China | 0.0274 (0.0176) | 0.0036 (0.0152) | −0.2383 (0.2098) | −0.0794* (0.0040) | 0.1240* (0.0058) | −0.0214* (0.0039) | 0.9840* (0.0018) | −0.2346* (0.0567) | 0.3215 0.57 |
India | 0.0432** (0.0176) | 0.09568* (0.0166) | −0.0349 (0.0417) | −0.1591* (0.0081) | 0.2345* (0.0111) | −0.0949* (0.0081) | 0.9650* (0.0032) | 0.0232 (0.0188) | 0.0404 0.84 |
Japan | 0.0036 (0.0184) | 0.0040 (0.0181) | 0.0566 (0.0331) | −0.1321* (0.0096) | 0.1964* (0.0123) | −0.0745* (0.0064) | 0.9640* (0.0042) | −0.0217 (0.0135) | 0.6187 0.43 |
Hong Kong | 0.0187 (0.0178) | 0.0447* (0.0173) | 0.6565** (0.0352) | −0.0878* (0.0074) | 0.1227* (0.0098) | −0.0558* (0.0058) | 0.9876* (0.0018) | −0.7025* (0.2054) | 1.0999 0.26 |
Sri Lanka | 0.0395* (0.0101) | 0.2734* (0.0145) | 0.0328** (0.0156) | −0.3666* (0.0076) | 0.4611* (0.0109) | −0.0224* (0.0086) | 0.9184* (0.0032) | 0.1280* (0.0244) | 0.8359 0.20 |
Volatility spillover from stock market to foreign exchange market | |||||||||
 | α0 | α1 | α2 | λ0 | λ 2 | φ | λ 1 | ψ | arch |
Pakistan | −0.0006* (0.0019) | −0.3272* (0.0162) | 0.0254* (0.0010) | −0.2573* (0.0028) | 0.3718* (0.0044) | −0.0140** (0.0068) | 0.9802* (0.0010) | 0.03726* (0.0021) | 0.0446 0.83 |
China | −0.0033* (0.0005) | −0.1727* (0.0120) | 0.0018* (0.0002 | −0.0776* (0.0014) | 0.0399* (0.0012) | −0.0390* (0.0022) | 0.9884* (0.0002) | −0.0959* (0.0018) | 0.4853 0.48 |
India | −0.0015* (0.0028) | −0.0479** (0.0148) | −0.0232* (0.0007) | −0.1103* (0.0042) | 0.1351* (0.0050) | 0.0064** (0.0029) | 0.9930* (0.0005) | −0.0189* (0.0024) | 1.0277 0.31 |
Japan | 0.0030 (0.0081) | 0.07207* (0.0157) | 0.0864 (0.0059) | −0.1097* (0.0105) | 0.1048* (0.0099) | −0.0305* (0.0057) | 0.9731* (0.0037) | −0.0056 (0.0033) | 0.7871 0.37 |
Hong Kong | 0.0003** (0.0001) | 0.0581* (0.0125) | 0.00002 (0.00009) | −0.1507* (0.0030) | 0.2401* (0.0040) | −0.0683* (0.0035) | 0.9996* (0.0004) | −0.0272* (0.0025) | 1.7438 0.18 |
Sri Lanka | −0.0086** (0.0042) | −0.2001* (0.0105) | −0.0549* (0.0010) | −0.0694* (0.0007) | 0.1278* (0.0017) | −0.0606* (0.0023) | 0.9957* (0.0005) | −0.0305* (0.0017) | 1.0304 0.31 |