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Table 7 Estimation for parameters in Time-varying Copulas model

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

 

tDCC

GDCC

tvC

tvSJC

Indonesia - Philippines

 v

10.776

    

(4.503)

    

 ω

  

0.0482

1.0553

1.6476

  

(0.109)

(2.165)

(1.255)

 α

0.0577

0.0587

−0.9909

−10

−7.5073

(0.017)

(0.017)

(0.428)

(18.114)

(4.875)

 β

0.8694

0.8689

0.6846

−0.2586

−0.5145

(0.041)

(0.04)

(0.229)

(1.255)

(0.278)

Indonesia - Singapore

 v

14.2384

    

(8.144)

    

 ω

  

0.1018

0.2173

1.8095

  

(0.048)

(0.201)

(1.423)

 α

0.0408

0.0372

−0.7269

−1.2259

−9.9997

(0.021)

(0.02)

(0.269)

(1.375)

(5.698)

 β

0.9407

0.946

0.9035

0.9392

−0.8999

(0.04)

(0.038)

(0.037)

(1.423)

(0.089)

Indonesia - Thailand

 v

13.2707

    

(5.802)

    

 ω

  

−0.9126

0.8537

1.4176

  

(0.468)

(4.23)

(2.82)

 α

0.0628

0.0665

−0.6241

−9.9999

−9.9996

(0.024)

(0.025)

(0.701)

(18.601)

(13.294)

 β

0.8117

0.7891

−0.2557

−0.8535

−0.575

(0.086)

(0.095)

(0.401)

(2.82)

(0.534)

Indonesia - Vietnam

 v

20.9213

    

(13.291)

    

 ω

  

−5.1766

1.692

−9.8017

  

(1.105)

(0.835)

(97.353)

 α

0.034

0.0316

1.1724

−8.1776

−9.8526

(0.016)

(0.016)

(2.839)

(4.578)

(27.844)

 β

0.9022

0.9013

−0.7011

0.8758

−0.9932

(0.047)

(0.053)

(0.716)

(97.353)

(0.071)

Indonesia - Malaysia

 v

8.8425

    

(3.124)

    

 ω

  

0.0673

0.5398

0.5078

  

(0.057)

(1.047)

(1.215)

 α

0.0484

0.0393

−0.6181

−6.3802

−4.7909

(0.024)

(0.028)

(0.331)

(3.912)

(5.083)

 β

0.9106

0.9224

0.886

−0.2229

− 0.9256

(0.056)

(0.073)

(0.074)

(1.215)

(0.115)

Philippines - Singapore

 v

12.1766

    

(5.389)

    

 ω

  

−0.5822

−0.0496

1.1642

  

(0.358)

(0.043)

(1.059)

 α

0.009

0.0218

−0.7041

−9.9995

−5.0406

(0.006)

(0.019)

(0.476)

(2.786)

(4.515)

 β

0.9889

0.9593

−0.2969

−0.9022

−0.6408

(0.012)

(0.047)

(0.468)

(1.059)

(0.432)

Philippines - Thailand

 v

39.7454

    

(33.605)

    

 ω

  

0.0041

−1.5307

1.183

  

(0.065)

(1.17)

(0.646)

 α

0.0096

0.01

−0.8443

1.3923

− 6.5031

(0.006)

(0.006)

(0.368)

(2.443)

(3.028)

 β

0.9869

0.9864

0.7433

0.1798

0.0854

(0.011)

(0.011)

(0.123)

(0.646)

(0.221)

Philippines - Malaysia

 v

15.9193

    

(8.571)

    

 ω

  

−0.5876

−0.8893

0.6422

  

(0.213)

(3.359)

(1.777)

 α

0.0161

0.015

−0.5648

−3.5354

−4.805

(0.007)

(0.006)

(0.62)

(14.29)

(8.759)

 β

0.9741

0.9769

0.1172

−0.1835

−0.2511

(0.013)

(0.01)

(0.159)

(1.777)

(0.749)

Philippines - Vietnam

 v

28.5507

    

(23.732)

    

 ω

  

−2.6645

−9.9998

1.6231

  

(1.065)

(6343.733)

(139.05)

 α

0.0135

0.0135

1.5003

9.9997

−10

(0.008)

(0.007)

(1.72)

(16,144.394)

(652.5)

 β

0.9728

0.9744

0.1475

4.3826

0.6776

(0.017)

(0.015)

(0.201)

(139.05)

(5.633)

Singapore - Thailand

 v

9.0856

    

(3.045)

    

 ω

  

−0.404

−1.083

1.4928

  

(0.299)

(1.035)

(1.001)

 α

0.0211

0.0162

−2.1804

−1.6226

−9.9961

(0.014)

(0.01)

(0.707)

(3.749)

(4.38)

 β

0.9696

0.9786

−0.2267

−0.8683

−0.9302

(0.03)

(0.016)

(0.268)

(1.001)

(0.039)

Singapore - Vietnam

 v

199.8059

    

(8777.354)

    

 ω

  

−4.1932

0.8938

−2.6044

  

(0.687)

(0.688)

(3.556)

 α

0.0194

0.0193

−1.2939

−6.1077

−8.4366

(0.014)

(0.011)

(0.76)

(4.435)

(9.21)

 β

0.9691

0.9693

−0.8946

0.7639

−0.3521

(0.028)

(0.022)

(0.028)

(3.556)

(0.55)

Singapore - Malaysia

 v

9.4262

    

(3.191)

    

 ω

  

0.0709

1.4373

1.9502

  

(0.058)

(1.236)

(1.299)

 α

0.0432

0.0347

−0.6044

−9.9998

−9.0747

(0.018)

(0.017)

(0.247)

(5.774)

(5.759)

 β

0.9079

0.9161

0.8647

−0.5537

− 0.9309

(0.042)

(0.049)

(0.049)

(1.299)

(0.054)

Thailand – Vietnam

 v

42.8752

    

(22.979)

    

 ω

  

−0.1177

−2.231

−2.6358

  

(0.18)

(2.499)

(4.768)

 α

0.0278

0.0275

−0.4673

−1.819

3.824

(0.029)

(0.034)

(0.364)

(4.558)

(20.7)

 β

0.9277

0.9275

0.8798

3.4432

3.1172

(0.122)

(0.147)

(0.063)

(4.768)

(1.964)

Thailand - Malaysia

 v

8.4662

    

(2.829)

    

 ω

  

−0.9144

0.3341

1.0142

  

(0.406)

(0.496)

(1.26)

 α

0.0566

0.0484

−0.8585

−3.1716

−9.9998

(0.022)

(0.021)

(0.487)

(1.937)

(5.012)

 β

0.8023

0.8194

−0.2653

0.4911

−0.8431

(0.043)

(0.046)

(0.404)

(1.26)

(0.063)

Vietnam - Malaysia

 v

18.4456

    

(10.407)

    

 ω

  

−4.2061

−1.6873

−1.7468

  

(0.566)

(22.524)

(12.396)

 α

0.0099

0.0097

−0.7419

−0.6685

−0.7096

(0.006)

(0.006)

(0.412)

(26.549)

(7.449)

 β

0.9834

0.9843

−0.8844

3.0697

2.3942

(0.011)

(0.01)

(0.049)

(12.396)

(7.565)

  1. Standard errors of the corresponding coefficients are reflected in square brackets. We employed the Eq. 14, 15, 16 and 17 to estimate the parameters from our existing literature