Table 2 Estimation results of the TVP-VAR-SV parameters with the ordering \(\left\{EPU,NEF,R\right\}\)
From: Bayesian analysis of time-varying interactions between stock returns and foreign equity flows
Parameters | Mean | St.Dev | 95% U | 95% L | CD | Inef |
|---|---|---|---|---|---|---|
\({\left({\Sigma }_{\beta }\right)}_{1}\) | 0.0023 | 0.0003 | 0.0018 | 0.0028 | 0.083 | 14.65 |
\({\left({\Sigma }_{\beta }\right)}_{2}\) | 0.0023 | 0.0003 | 0.0018 | 0.0029 | 0.069 | 12.78 |
\({\left({\Sigma }_{a}\right)}_{1}\) | 0.0027 | 0.0003 | 0.0022 | 0.0033 | 0.637 | 13.45 |
\({\left({\Sigma }_{a}\right)}_{2}\) | 0.0047 | 0.0011 | 0.0032 | 0.0073 | 0.635 | 53.5 |
\({\left({\Sigma }_{h}\right)}_{1}\) | 0.0058 | 0.002 | 0.0034 | 0.0104 | 0.445 | 94.24 |
\({\left({\Sigma }_{h}\right)}_{2}\) | 0.1136 | 0.0431 | 0.0478 | 0.2138 | 0.468 | 120.77 |