From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
c | a | b | w | d | α | β | |
---|---|---|---|---|---|---|---|
Short Term Bond Portfolio | |||||||
IDR ST | 0.001** (2.419) | 0.108 (0.414) | 0.051 (0.21) | 15.671 (0.86) | 0.672*** (5.186) | −0.371 (−1.539) | 0.096 (0.559) |
BRL ST | 0.002* (1.883) | 0.528 (0.644) | −0.515 (−0.686) | 6.791 (1.477) | 0.431** (2.27) | 0.212 (1.47) | 0.509** (3.063) |
IND ST | 0.001*** (2.966) | 0.352** (2.219) | −0.265* (−1.767) | 2.559 (1.104) | 0.553*** (2.815) | 0.115 (0.344) | 0.565 (1.522) |
SA ST | 0 (0.024) | −0.451** (−1.934) | 0.445** (1.95) | 7.822* (1.635) | 0.341* (1.915) | −0.043 (− 0.062) | 0.231 (0.316) |
MXN ST | 0 (0.529) | −0.775*** (−4.191) | 0.776*** (4.255) | 6.869 (1.073) | 0.601** (2.477) | 0.125 (1.146) | 0.646*** (2.936) |
TR ST | 0 (0.072) | 0.313 (0.895) | −0.238 (− 0.649) | 5.231 (0.77) | 0.456 (0.85) | 0.402 (1.524) | 0.708*** (2.689) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | ||
−35.1306 | −34.6005 | −35.1585 | −34.9220 | 767.8 | 767.2 | ||
Long Term Bond Portfolio | |||||||
IDR LT | 0.002*** (2.017) | −0.632** (−2.223) | 0.729*** (2.851) | 25.484 (0.925) | 0.576*** (4.454) | −0.42** (−1.883) | 0.054 (0.293) |
BRL LT | 0.002* (1.934) | 0.184 (0.582) | −0.225 (− 0.809) | 8.673*** (2.985) | 0.325*** (2.862) | 0.131 (0.647) | 0.368* (1.686) |
IND LT | 0.001** (2.189) | −0.901*** (−6.161) | 0.872*** (4.752) | 3.149* (1.604) | 0.379*** (4.077) | −0.783*** (−5.889) | − 0.69*** (− 2.646) |
SA LT | 0.001 (0.79) | − 0.451** (−1.989) | 0.466** (2.291) | 11.845 (1.286) | 0.263 (1.09) | −0.418 (− 0.798) | −0.241 (− 0.489) |
MXN LT | 0.002 (1.446) | −0.785*** (−3.377) | 0.788*** (3.948) | 8.6 (1.535) | 0.398** (2.431) | −0.33 (− 0.388) | −0.035 (− 0.037) |
TR LT | 0.001 (0.662) | 0.357 (0.723) | −0.282 (− 0.543) | 5.676*** (3.447) | 0.313** (2.283) | 0.33** (2.041) | 0.549*** (3.058) |
AIC | SIC | Shibata | H-Q | Hosking | McLeod-Li | ||
−31.0554 | −30.5252 | −31.0833 | − 30.8468 | 743.3 | 743.1 | ||
Conditional Correlation | |||||||
ρ2,1 | 0.368*** (6.87) | ρ8,7 | 0.358*** (7.43) | ||||
ρ3,1 | 0.484*** (10.43) | ρ9,7 | 0.375*** (7.85) | ||||
ρ4,1 | 0.4*** (8.17) | ρ10,7 | 0.448*** (10.22) | ||||
ρ5,1 | 0.289*** (5.45) | ρ11,7 | 0.372*** (7.85) | ||||
ρ6,1 | 0.365*** (7) | ρ12,7 | 0.411*** (9.61) | ||||
ρ3,2 | 0.395*** (7.95) | ρ9,8 | 0.282*** (5.43) | ||||
ρ4,2 | 0.545*** (13.68) | ρ10,8 | 0.528*** (12.74) | ||||
ρ5,2 | 0.502*** (11.73) | ρ11,8 | 0.476*** (11.28) | ||||
ρ6,2 | 0.492*** (11.07) | ρ12,8 | 0.455*** (10.89) | ||||
ρ4,3 | 0.451*** (9.39) | ρ10,9 | 0.369*** (7.74) | ||||
ρ5,3 | 0.411*** (8.28) | ρ11,9 | 0.354*** (6.95) | ||||
ρ6,3 | 0.438*** (9.5) | ρ12,9 | 0.316*** (6.37) | ||||
ρ5,4 | 0.533*** (12.39) | ρ11,10 | 0.56*** (13.84) | ||||
ρ6,4 | 0.601*** (16.16) | ρ12,10 | 0.592*** (17.4) | ||||
ρ6,5 | 0.517*** (11.54) | ρ12,11 | 0.505*** (12.55) | ||||
α | 0.022*** (2.82) | α | 0.015* (2.1) | ||||
β | 0.913*** (29.99) | β | 0.915*** (26.13) | ||||
df | 7.934*** (8.24) | df | 8.713*** (7.15) |