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Table 3 DCC ARIMA-GARCH estimation

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)

  1. Notes: Values in the paranthesis are t-statistics. *, **, *** refer to statistically significant in 10%, 5% and 1% confidence levels. c, a and b parameters refer to the coefficients of mean model. AIC, SIC, Shibata, HQ, refer to Akaike, Schwarz, and Hannan-Quinn information criteria, respectively. Hosking is the residual portmanteau test and Mcleod-Li is the heteroskedasticity test. Parameter indices (1,…12) refer to the data series of IDR ST, BRL ST, IND ST, SA ST, MXN ST, TR ST, IDR LT, BRL LT, IND LT, SA LT, MXN LT, TR LT in order