From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
c | a | b | w | α | β | |
---|---|---|---|---|---|---|
Short Term Bond Portfolio | ||||||
IDR ST | 0.002** (2.317) | 0.106 (0.476) | 0.067 (0.336) | 0.156* (1.662) | 0.308 (1.496) | 0.638*** (3.982) |
BRL ST | 0.002* (1.823) | 0.525 (0.649) | −0.508 (− 0.679) | 0.288 (1.514) | 0.115** (2.141) | 0.822*** (10.38) |
IND ST | 0.001*** (2.579) | 0.391* (1.793) | −0.303 (−1.439) | 0.014 (0.304) | 0.075 (0.631) | 0.912*** (6.027) |
SA ST | 0.000 (0.089) | −0.47** (− 1.991) | 0.459 (1.944) | 0.324* (1.73) | 0.079** (2.056) | 0.865*** (15.92) |
MXN ST | 0.001 (0.738) | −0.758*** (−3.392) | 0.756*** (3.375) | 0.124* (1.605) | 0.128*** (3.016) | 0.84*** (26) |
TR ST | 0.000 (0.169) | 0.252 (0.824) | −0.174 (− 0.555) | 0.271 (0.874) | 0.073* (1.923) | 0.847*** (8.286) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | |
−35.1168 | 34.6396 | − 35.1397 | −34.9290 | 748.6 | 747.8 | |
Long Term Bond Portfolio | ||||||
IDR LT | 0.002** (2.009) | −0.577* (−1.788) | 0.692*** (2.488) | 0.531** (2.069) | 0.191** (2.167) | 0.711*** (7.665) |
BRL LT | 0.002* (1.825) | 0.171 (0.492) | −0.209 (− 0.686) | 0.549 (0.626) | 0.108 (0.792) | 0.832*** (3.764) |
IND LT | 0.001* (1.818) | −0.898*** (−6.508) | 0.862*** (4.92) | 0.080 (1.588) | 0.118*** (2.574) | 0.829*** (12.94) |
SA LT | 0.001 (0.549) | −0.503*** (−2.617) | 0.502*** (2.579) | 0.792* (1.895) | 0.092* (1.8) | 0.827*** (13.23) |
MXN LT | 0.002* (1.749) | −0.834*** (−9.321) | 0.819*** (8.772) | 0.423*** (2.534) | 0.172*** (2.789) | 0.764*** (17.26) |
TR LT | 0.001 (0.682) | 0.309 (0.686) | −0.236 (− 0.502) | 0.255 (1.251) | 0.076* (1.805) | 0.88*** (13.89) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | |
−31.0402 | −30.5631 | −31.0632 | − 30.8525 | 800.7** | 798.6** | |
Conditional Correlation | ||||||
ρ2,1 | 0.363*** (6.75) | ρ8,7 | 0.357*** (7.47) | |||
ρ3,1 | 0.475*** (10.17) | ρ9,7 | 0.359*** (7.64) | |||
ρ4,1 | 0.387*** (7.63) | ρ10,7 | 0.439*** (9.84) | |||
ρ5,1 | 0.276*** (5.34) | ρ11,7 | 0.359*** (7.88) | |||
ρ6,1 | 0.363*** (6.97) | ρ12,7 | 0.404*** (9.73) | |||
ρ3,2 | 0.383*** (7.81) | ρ9,8 | 0.271*** (5.33) | |||
ρ4,2 | 0.532*** (13.41) | ρ10,8 | 0.532*** (12.93) | |||
ρ5,2 | 0.493*** (11.51) | ρ11,8 | 0.483*** (11.57) | |||
ρ6,2 | 0.481*** (10.85) | ρ12,8 | 0.456*** (10.81) | |||
ρ4,3 | 0.441*** (9.25) | ρ10,9 | 0.359*** (7.78) | |||
ρ5,3 | 0.4*** (8.12) | ρ11,9 | 0.348*** (6.91) | |||
ρ6,3 | 0.427*** (9.28) | ρ12,9 | 0.308*** (6.37) | |||
ρ5,4 | 0.526*** (12.13) | ρ11,10 | 0.564*** (13.96) | |||
ρ6,4 | 0.592*** (15.97) | ρ12,10 | 0.594*** (17.85) | |||
ρ6,5 | 0.511*** (11.37) | ρ12,11 | 0.511*** (12.77) | |||
α | 0.021*** (2.79) | α | 0.012*** (1.92) | |||
β | 0.914*** (32.77) | β | 0.922*** (28.25) | |||
df | 7.911*** (8.73) | df | 8.464*** (7.67) |