Table 6 Estimation for AR–GJR–GARCH (1,1) model
From: Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches
| Â | Indonesia | Malaysia | Philippines | Singapore | Thailand | Vietnam |
|---|---|---|---|---|---|---|
c0 | 0.0037 | 0.0009 | 0.0026 | 0.0008 | 0.002 | 0.0004 |
(0.001) | (0) | (0.001) | (0.001) | (0.001) | (0.001) | |
c1 | −0.0356 | 0.05 | −0.0419 | 0.0387 | −0.0393 | 0.2315 |
(0.044) | (0.038) | (0.039) | (0.033) | (0.037) | (0.041) | |
ω | 0 | 0 | 0 | 0 | 0 | 0 |
(0) | (0) | (0) | (0) | (0) | (0) | |
α | 0.1631 | 0.0711 | 0.0411 | 0.0253 | 0.0724 | 0.3483 |
(0.076) | (0.06) | (0.03) | (0.024) | (0.023) | (0.11) | |
β | 0.7984 | 0.8798 | 0.8911 | 0.8696 | 0.9254 | 0.6704 |
(0.15) | (0.123) | (0.064) | (0.054) | (0.029) | (0.086) | |
γ | 0.0328 | 0.057 | 0.0698 | 0.1705 | 0.0048 | 0.0676 |
(0.104) | (0.072) | (0.043) | (0.061) | (0.03) | (0.106) | |
Ï… | 4.6782 | 5.3685 | 6.5995 | 6.122 | 5.8375 | 4.8907 |
(0.715) | (1.036) | (1.302) | (1.236) | (1.095) | (0.788) | |
λ | −0.1022 | − 0.0942 | − 0.1004 | − 0.1038 | − 0.2007 | − 0.0331 |
(0.052) | (0.056) | (0.064) | (0.043) | (0.047) | (0.047) |