Skip to main content

Table 3 Estimation results of parameters in the GC-MSV model

From: Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism

Parameters μ 1 μ 2 ϕ 11 ϕ 22 σ η1 σ η2 ρ ε ϕ 12 ϕ 21
Mean −6.953 0.9594 0.9976 0.9773 0.1663 0.1519 −1.1015 0.1207 0.2143
Standard deviation 0.4500 0.2127 0.0014 0.0090 0.0229 0.0249 0.0301 0.0189 0.0190
MC error 0.0197 0.0076 0.0001 0.0003 0.0012 0.0014 0.0004 0.0001 0.0001
2.5 % fractile −7.8270 0.5249 0.9941 0.9568 0.1271 0.1126 −0.1604 0.0845 0.1855
Median −6.9580 0.9639 0.9979 0.9784 0.1643 0.1496 −0.1014 0.1196 0.2017
97.5 % fractile −6.0640 1.3760 0.9983 0.9916 0.2144 0.2051 −0.0428 0.1583 0.2674