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Table 4 Volatility spillover between stock and foreign exchange market

From: Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

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
  1. * and ** indicates p < 1 % and 5 %
  2. For coefficients go to equation 1 to 4
  3. Figures in parenthesis are standard errors
  4. Arch is the arch test on residuals of each model
  5. The figures below the coefficients of arch test are probabilities
  6. δ represents volatility spillover from foreign exchange market to stock market
  7. ψ represents volatility spillover from stock market to foreign exchange market