Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Duong, Duy; Huynh, Toan Luu Duc

doi:10.1186/s40854-019-0168-7

Financial Innovation

Table 4 The results of Goodness-of-fit

From: Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Pair	Data	Normal	Clayton	Gumbel	t-copulas
Indonesia-Philippine	Gof_Statistic	0.029404	0.099322	0.099448	0.019918
	Gof_param	0.48716	0.79443	1.4387	0.4912
	P-value	0.1134	0.0004995	0.0004995	0.3791
Indonesia-Singapore	Gof_Statistic	0.024674	0.13975	0.089544	0.017133
	Gof_param	0.50132	0.80877	1.4666	0.50854
	P-value	0.2293	0.0004995	0.0004995	0.51
Indonesia-Thailand	Gof_Statistic	0.023446	0.12957	0.048184	0.011607
	Gof_param	0.45391	0.84746	1.4014	0.45911
	P-value	0.2632	0.0004995	0.007493	0.9116
Indonesia-Vietnam	Gof_Statistic	0.029888	0.031696	0.026152	0.021016
	Gof_param	0.12738	0.1584	1.0779	0.09955
	P-value	0.1304	0.1424	0.2203	0.3242
Indonesia-Malaysia	Gof_Statistic	0.030041	0.12067	0.088685	0.019581
	Gof_param	0.49883	0.8007	1.4589	0.50017
	P-value	0.1014	0.0004995	0.0004995	0.4071
Philippine-Singapore	Gof_Statistic	0.03868	0.1003	0.12466	0.026504
	Gof_param	0.468	0.77517	1.4222	0.48651
	P-value	0.03147	0.0004995	0.0004995	0.1494
Philippine-Thailand	Gof_Statistic	0.021942	0.083165	0.086918	0.022012
	Gof_param	0.43398	0.7906	1.3462	0.42124
	P-value	0.3092	0.001499	0.0004995	0.2672
Philippine-Vietnam	Gof_Statistic	0.065087	0.062279	0.055113	0.04018
	Gof_param	0.12116	0.18273	1.0647	0.081323
	P-value	0.0004995	0.007493	0.006494	0.01848
Philippine-Malaysia	Gof_Statistic	0.035631	0.059861	0.092769	0.022916
	Gof_param	0.43849	0.76973	1.3546	0.4254
	P-value	0.04146	0.004496	0.0004995	0.2313
Singapore-Thailand	Gof_Statistic	0.016328	0.15587	0.05485	0.0078838
	Gof_param	0.47503	0.73941	1.4235	0.47906
	P-value	0.6678	0.0004995	0.001499	0.9955
Singapore-Vietnam	Gof_Statistic	0.034138	0.018871	0.052699	0.024377
	Gof_param	0.16341	0.23648	1.1057	0.16774
	P-value	0.07143	0.5639	0.005495	0.1833
Singapore-Malaysia	Gof_Statistic	0.048451	0.12037	0.10266	0.031779
	Gof_param	0.54804	0.92907	1.5337	0.5467
	P-value	0.005495	0.0004995	0.0004995	0.04745
Thailand-Vietnam	Gof_Statistic	0.02546	0.015541	0.038322	0.02129
	Gof_param	0.12491	0.18517	1.0724	0.12151
	P-value	0.2323	0.7777	0.05245	0.2882
Thailand-Malaysia	Gof_Statistic	0.028121	0.13323	0.050293	0.014174
	Gof_param	0.45308	0.84455	1.3975	0.45063
	P-value	0.1364	0.0004995	0.004496	0.7308
Vietnam-Malaysia	Gof_Statistic	0.02974	0.032195	0.0302	0.016429
	Gof_param	0.11931	0.15552	1.0887	0.11677
	P-value	0.1174	0.1384	0.1284	0.5999

The test for Goodness-of-fit is inherited from the Eq. 12 and Eq. 13. Furthermore, our hypothesis for testing is H₀ : C = C₀ = 0, H_A : C ≠ C₀ ≠ 0. However, Embrechts (2009) indicates 99.99% Copulas estimations and its applications fail to this test
Entries set in bold can clearly see the 'Goodness-of-fit'of Copulas

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