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 5 The parameters for each Copulas family

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

Pair	Data	Normal	Clayton	Gumbel	t-Copulas
Indonesia-Philippine	Loglikelihood	117.900	117.000	111.000	136.400
	Param	0.487	0.794	1.439	0.491
	λ_U		0.418
	λ_L			0.381
Indonesia-Singapore	Loglikelihood	126.000	120.500	121.400	146.700
	Param	0.501	0.809	1.467	0.509
	λ_U		0.424
	λ_L			0.396
Indonesia-Thailand	Loglikelihood	100.300	88.580	98.250	118.400
	Param	0.454	0.848	1.401	0.459
	λ_U		0.441
	λ_L			0.360
Indonesia-Vietnam	Loglikelihood	7.067	9.109	8.058	14.870
	Param	0.127	0.158	1.078	0.100
	λ_U		0.013
	λ_L			0.098
Indonesia-Malaysia	Loglikelihood	124.600	121.300	118.100	141.900
	Param	0.499	0.801	1.459	0.500
	λ_U		0.421
	λ_L			0.392
Philippine-Singapore	Loglikelihood	107.500	112.400	102.900	132.100
	Param	0.468	0.775	1.422	0.487
	λ_U		0.409
	λ_L			0.372
Philippine-Thailand	Loglikelihood	90.690	86.660	75.980	94.390
	Param	0.434	0.791	1.346	0.421
	λ_U		0.416
	λ_L			0.326
Philippine-Vietnam	Loglikelihood	6.389	12.370	5.470	13.940
	Param	0.121	0.183	1.065	0.081
	λ_U		0.023
	λ_L			0.083
Philippine-Malaysia	Loglikelihood	92.810	92.180	81.040	102.200
	Param	0.439	0.770	1.355	0.425
	λ_U		0.406
	λ_L			0.332
Singapore-Thailand	Loglikelihood	111.300	104.300	104.700	128.900
	Param	0.475	0.739	1.423	0.479
	λ_U		0.392
	λ_L			0.372
Singapore-Vietnam	Loglikelihood	11.700	16.750	11.530	24.260
	Param	0.163	0.237	1.106	0.168
	λ_U		0.053
	λ_L			0.129
Singapore-Malaysia	Loglikelihood	155.700	148.500	148.400	175.500
	Param	0.548	0.929	1.534	0.547
	λ_U		0.474
	λ_L			0.429
Thailand-Vietnam	Loglikelihood	6.794	11.290	6.862	14.760
	Param	0.125	0.185	1.072	0.122
	λ_U		0.024
	λ_L			0.091
Thailand-Malaysia	Loglikelihood	99.900	81.890	95.960	111.900
	Param	0.453	0.845	1.398	0.451
	λ_U		0.440
	λ_L			0.358
Vietnam-Malaysia	Loglikelihood	6.194	8.190	9.088	19.890
	Param	0.119	0.156	1.089	0.117
	λ_U		0.012
	λ_L			0.110

The robustness checks for our results are based on the loglikelihood value. The highest value of loglikelihood suggested us to choose the t-Copulas for interpreting our results. Moreover, the parameters (param) demonstrate how strong two equity markets commit
Entries set in bold can clearly see the 'Goodness-of-fit'of Copulas

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