Table 3 Summary value at risk and conditional value at risk statistics for stock markets in the MENA region
From: Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries
Market | Upside VaR | Downside VaR | Upside CoVaR | Downside CoVaR |
|---|---|---|---|---|
UAE | 1.033 (0.70) | − 1.032 (0.70) | 0.619 (0.42) | − 1.03 (0.70) |
Bahrain | 0.484 (0.146) | Â | Â | Â |
|  | − 0.486 (0.146) | 0.313 (0.095) | − 0.461 (0.139) |  |
Lebanon | 0.651 (0.481) | − 0.651 (0.481) | 0.542 (0.397) | − 0.541 (0.397) |
Qatar | 1.077 (0.760) | − 1.076 (0.760) | 0.988 (0.697) | − 0.755 (0.533) |
Egypt | 1.702 (0.594) | − 1.700 (0.594) | 1.025 (0.358) | − 1.731 (0.608) |
Jordan | 0.766 (0.450) | − 0.766 (0.450) | 0.596 (0.351) | − 0.684 (0.403) |
Kuwait | 0.670 (0.340) | − 0.669 (0.340) | 0.484 (0.247) | − 0.626 (0.318) |
Morocco | 0.100 (0.033) | − 0.100 (0.033) | 0.011 (0.003) | − 0.010 (0.003) |
Oman | 0.745 (0.603) | − 0.745 (0.603) | 0.446 (0.362) | − 0.741 (0.601) |
Saudi Arabia | 1.033 (0.703) | − 1.032 (0.703) | 0.619 (0.420) | − 1.030 (0.700) |