Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Financial Innovation

Table 3 Estimation results of the TVP-VAR-SV parameters with the ordering \(\left\{EPU,R,NEF\right\}\)

Parameters	Mean	SD	95% U	95% L	CD	Inef
\({\left({\Sigma }_{\beta }\right)}_{1}\)	0.0023	0.0003	0.0018	0.0029	0.5	14.89
\({\left({\Sigma }_{\beta }\right)}_{2}\)	0.0023	0.0003	0.0018	0.0029	0.006	12.03
\({\left({\Sigma }_{a}\right)}_{1}\)	0.0049	0.0011	0.0032	0.0077	0.232	50.84
\({\left({\Sigma }_{a}\right)}_{2}\)	0.0026	0.0003	0.0021	0.0033	0.936	18.41
\({\left({\Sigma }_{h}\right)}_{1}\)	0.006	0.0022	0.0035	0.0114	0.000	125.33
\({\left({\Sigma }_{h}\right)}_{2}\)	0.1035	0.0299	0.0544	0.1712	0.77	71.56