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Table 4 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 −6.1760 0.5218 0.9824 0.9419 0.1644 0.1778 −0.1279 0.0643 0.1143
Standard deviation 0.4148 0.2813 0.0123 0.0280 0.0333 0.0481 0.0429 0.0189 0.0189
MC error 0.0194 0.0126 0.0001 0.0013 0.0018 0.0027 0.0001 0.0001 0.0001
2.5 % fractile −7.0080 −0.0490 0.9519 0.8744 0.1165 0.1046 −0.2108 0.0345 0.0845
Median −6.1690 0.5314 0.9850 0.9465 0.1580 0.1702 −0.1282 0.0616 0.1116
97.5 % fractile −5.3960 1.0620 0.9982 0.9827 0.2510 0.2869 −0.0427 0.1083 0.1583