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

Financial Innovation

Table 4 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	−6.1760	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