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

Financial Innovation

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

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