From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
c | w | d | α | β | |
---|---|---|---|---|---|
Short Term Bond Portfolio | |||||
IDR ST | 0.001*** (2.704) | 14.206 (0.832) | 0.655*** (4.852) | −0.37 (−1.365) | 0.079 (0.391) |
BRL ST | 0.002** (2.153) | 6.347 (1.537) | 0.419** (2.259) | 0.226 (1.556) | 0.507*** (3.071) |
IND ST | 0.001*** (3.294) | 2.774 (0.919) | 0.571** (2.504) | 0.181 (0.403) | 0.614 (1.456) |
SA ST | 0 (0.066) | 7.31 (1.569) | 0.331** (2.115) | −0.032 (− 0.038) | 0.227 (0.269) |
MXN ST | 0 (0.475) | 6.602 (1.157) | 0.601*** (2.745) | 0.123 (1.156) | 0.649*** (3.439) |
TR ST | 0 (0.11) | 5.513 (0.837) | 0.48 (1.026) | 0.383* (1.597) | 0.714*** (3.126) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li |
−35.0974 | −34.6733 | −35.1158 | −34.9305 | 792.6** | 791.8** |
Long Term Bond Portfolio | |||||
IDR LT | 0.002** (2.218) | 28.827 (0.843) | 0.587*** (4.204) | −0.425* (−1.658) | 0.05 (0.227) |
BRL LT | 0.002* (1.887) | 8.421*** (2.979) | 0.32*** (2.846) | 0.112 (0.558) | 0.346 (1.521) |
IND LT | 0.001** (2.18) | 3.271 (1.509) | 0.389*** (4.217) | −0.756*** (−6.497) | − 0.608* (−1.745) |
SA LT | 0.001 (0.909) | 11.914 (1.378) | 0.263 (1.212) | −0.457 (−1.28) | − 0.28 (− 0.81) |
MXN LT | 0.002 (1.408) | 8.969 (1.536) | 0.403** (2.361) | −0.352 (− 0.415) | −0.051 (− 0.053) |
TR LT | 0.001 (0.713) | 5.693*** (3.495) | 0.315** (2.345) | 0.303* (1.801) | 0.532*** (2.7) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li |
−31.0374 | −30.6133 | −31.0558 | −30.8705 | 760.1 | 759.8 |
Conditional Correlation | |||||
ρ2,1 | 0.374*** (0.05) | ρ8,7 | 0.348*** (7.29) | ||
ρ3,1 | 0.479*** (0.04) | ρ9,7 | 0.371*** (7.98) | ||
ρ4,1 | 0.391*** (0.05) | ρ10,7 | 0.445*** (10.32) | ||
ρ5,1 | 0.286*** (0.05) | ρ11,7 | 0.362*** (7.56) | ||
ρ6,1 | 0.379*** (0.05) | ρ12,7 | 0.418*** (10.21) | ||
ρ3,2 | 0.39*** (0.05) | ρ9,8 | 0.278*** (5.42) | ||
ρ4,2 | 0.542*** (0.04) | ρ10,8 | 0.529*** (13.02) | ||
ρ5,2 | 0.501*** (0.04) | ρ11,8 | 0.471*** (11.16) | ||
ρ6,2 | 0.489*** (0.04) | ρ12,8 | 0.447*** (10.73) | ||
ρ4,3 | 0.436*** (0.05) | ρ10,9 | 0.374*** (7.96) | ||
ρ5,3 | 0.407*** (0.05) | ρ11,9 | 0.352*** (6.98) | ||
ρ6,3 | 0.443*** (0.05) | ρ12,9 | 0.327*** (6.78) | ||
ρ5,4 | 0.52*** (0.04) | ρ11,10 | 0.553*** (13.49) | ||
ρ6,4 | 0.589*** (0.04) | ρ12,10 | 0.583*** (17.15) | ||
ρ6,5 | 0.506*** (0.05) | ρ12,11 | 0.5*** (12.57) | ||
α | 0.021*** (0.01) | α | 0.015** (1.99) | ||
β | 0.912*** (0.03) | β | 0.905*** (21.42) | ||
df | 7.999*** (0.98) | df | 8.683*** (7.35) |