From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
c | D | a | b | w | d | α | β | |
---|---|---|---|---|---|---|---|---|
Short Term Bond Portfolio | ||||||||
IDR ST | 0.001*** (2.585) | −0.015 (−0.151) | 0.145 (0.582) | 0.027 (0.131) | 15.642 (0.862) | 0.673*** (5.176) | − 0.366* (−1.633) | 0.099 (0.599) |
BRL ST | 0.002 (1.385) | 0.09 (1.363) | −0.032 (− 0.014) | −0.083 (− 0.133) | 6.638 (1.462) | 0.429** (2.239) | 0.229 (1.554) | 0.523*** (3.121) |
IND ST | 0.001** (2.553) | 0.06 (0.755) | −0.575 (− 0.881) | 0.556 (0.956) | 2.644 (1.037) | 0.564*** (2.612) | 0.145 (0.375) | 0.599 (1.514) |
SA ST | 0.003 (1.269) | 0.721*** (7.838) | 0.204** (1.977) | −0.969*** (−86.44) | 8.784** (2.082) | 0.324*** (3.096) | −0.71*** (−9.045) | − 0.466*** (−3.019) |
MXN ST | 0 (0.434) | 0.018 (0.348) | −0.77*** (−4.2) | 0.767*** (4.114) | 6.816 (1.063) | 0.596** (2.434) | 0.117 (1.034) | 0.636*** (2.73) |
TR ST | 0 (0.122) | −0.061 (− 0.557) | 0.456 (1.098) | − 0.321 (− 0.822) | 5.314 (0.787) | 0.464 (0.906) | 0.403 (1.583) | 0.715*** (2.882) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | |||
−35.1102 | −34.5270 | −35.1435 | − 34.8808 | 773.9* | 773.2* | |||
Long Term Bond Portfolio | ||||||||
IDR LT | 0.002 | 0.002 | −0.511 | −0.511 | 15.658 | − 0.493 | 1.001 | 0.352 |
BRL LT | 0.002 (1.626) | 0.032 (0.354) | 0.153 (0.449) | −0.229 (− 0.807) | 8.625*** (3.024) | 0.323*** (2.873) | 0.137 (0.69) | 0.375* (1.754) |
IND LT | 0.001*** (2.724) | −0.052 (− 0.907) | −0.936*** (−9.922) | 0.925*** (6.979) | 3.344* (1.696) | 0.399*** (4.68) | −0.772*** (−9.639) | − 0.648*** (−3.014) |
SA LT | 0.001* (1.662) | −0.157* (−1.739) | −0.149 (− 0.323) | 0.292 (0.873) | 13.727 (1.138) | 0.306 (1.425) | −0.558** (−2.501) | −0.336** (−2.162) |
MXN LT | 0.002 (1.252) | 0.039 (0.572) | −0.79*** (−5.137) | 0.784*** (5.689) | 8.704 (1.507) | 0.402** (2.399) | −0.33 (− 0.396) | −0.029 (− 0.031) |
TR LT | 0.001 (0.737) | −0.071 (− 0.622) | 0.501 (1.168) | −0.356 (− 0.86) | 5.675*** (3.454) | 0.313** (2.286) | 0.34** (2.12) | 0.555*** (3.194) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | |||
−31.0437 | −30.4606 | −30.4606 | − 30.8143 | 746.5 | 746.3 | |||
Conditional Correlation | ||||||||
ρ2,1 | 0.369*** (6.85) | ρ8,7 | 0.358*** (7.59) | |||||
ρ3,1 | 0.485*** (10.55) | ρ9,7 | 0.382*** (8.25) | |||||
ρ4,1 | 0.387*** (7.99) | ρ10,7 | 0.454*** (10.79) | |||||
ρ5,1 | 0.291*** (5.5) | ρ11,7 | 0.366*** (7.86) | |||||
ρ6,1 | 0.371*** (7.18) | ρ12,7 | 0.411*** (9.99) | |||||
ρ3,2 | 0.398*** (8.11) | ρ9,8 | 0.286*** (5.75) | |||||
ρ4,2 | 0.54*** (12.71) | ρ10,8 | 0.527*** (13.03) | |||||
ρ5,2 | 0.504*** (11.8) | ρ11,8 | 0.475*** (11.68) | |||||
ρ6,2 | 0.499*** (11.43) | ρ12,8 | 0.457*** (11.34) | |||||
ρ4,3 | 0.459*** (9.87) | ρ10,9 | 0.38*** (8.32) | |||||
ρ5,3 | 0.409*** (8.23) | ρ11,9 | 0.353*** (7.1) | |||||
ρ6,3 | 0.44*** (9.58) | ρ12,9 | 0.319*** (6.64) | |||||
ρ5,4 | 0.533*** (12.38) | ρ11,10 | 0.56*** (14.46) | |||||
ρ6,4 | 0.604*** (16.48) | ρ12,10 | 0.594*** (18.04) | |||||
ρ6,5 | 0.521*** (11.64) | ρ12,11 | 0.502*** (12.74) | |||||
α | 0.024*** (3.01) | α | 0.014* (1.81) | |||||
β | 0.904*** (28.83) | β | 0.902*** (21.04) | |||||
df | 8.109*** (8.02) | df | 8.667*** (7.21) |