Table 3 BEKK-GARCH model

C11

0.432 (0.000)**

64.76 (0.000)**

0.250 (0.003)**

0.357 (0.055)*

0.432 (0.046)*

0.539 (0.000)**

0.452 (0.000)**

0.6472 (0.000)**

0.452 (0.027)*

0.532 (0.038)*

0.439 (0.030)*

0.067 (0.000)**

0.545 (0.042)*

0.967 (0.023)*

0.283 (0.080)*

C12

0.042 (0.081)*

0.002 (0.102)

0.001 (0.052)

0.046 (0.056)*

0.011 (0.010)**

0.042 (0.051)*

0.004 (0.054)*

0.018 (0.021)*

0.001 (0.065)

0.063 (0.551)

0.012 (0.031)*

0.040 (0.022)*

0.041 (0.138)

0.082 (0.022)*

0.013 (0.217)

C22

0.087 (0.000)**

0.012 (0.000)**

0.003 (0.180)

0.034 (0.00))**

0.092 (0.008)**

0.042 (0.083)

0.442 (0.001)**

0.042 (0.021)*

0.042 (0.03)*

0.436 (0.021)*

0.044 (0.022)*

0.027 (0.016)*

0.045(0.042)*

0.049 (0.022)*

0.052 (0.028)*

A11

0.426 (0.000)**

0.422 (0.000)*

0.346 (0.000)**

0.222 (0.000)**

0.435 (0.001)**

0.396 (0.030)**

0.178 (0.030)*

0.256 (0.003)**

0.378 (0.000)*

0.356 (0.003)*

0.183 (0.021)*

0.285 (0.031)*

0.258 (0.040)**

0.285 (0.031)*

0.258 (0.018)*

A21

0.083 (0.523)

0.005 (0.734)

0.002 (0.724)

0.042 (0.567)

0.038 (0.537)

0.056 (0.723)

0.052 (0.632)

0.042 (0.562)

0.052 (0.500)

0.042 (0.652)

0.042 (0.174)

0.005 (0.385)

0.021 (0.378)

0.065 (0.293)

0.034 (0.533)

A12

0.051 (0.020)*

0.054 (0.040)*

0.042 (0.064)*

0.004 (0.840)

0.008 (0.346)

0.069 (0.034)*

0.071 (0.028)*

0.046(0.054)*

0.001 (0.284)

0.046 (0.547)

0.068 (0.232)

0.053 (0.098)

0.064 (0.029)

0.053 (0.533)

0.064 (0.828)

A22

0.467 (0.020)**

0.487 (0.040)**

0.576 (0.003)*

0.510 (0.095)

0.376 (0.430)

0.541 (0.040)**

0.781 (0.038)*

0.561 (0.050)**

0.571 (0.040)*

0.494 (0.030)*

0.751 (0.031)*

0.671 (0.054)*

0.722 (0.025)

0.633 (0.086)

0.661 (0.134)

B11

0.292 (0.003)**

0.117 (0.010)**

0.534 (0.030)*

0.165 (0.007)**

0.432(0.002)**

0.539(0.000)**

0.402 (0.000)*

0.438(0.000)**

0.182(0.000)**

0.532 (0.030)*

0.354 (0.040)*

0.087 (0.00)*

0.545 (0.083)

0.067 (0.042)

0.511 (0.043)

B21

0.003 (0.678)

0.001 (0.190)

0.001 (0.089)*

 − 0.272 (0.090)

0.003 (0.491)

0.032 (0.761)

0.048 (0.451)

0.025 (0.551)

0.009 (0.674)

0.046 (0.971)

0.021 (0.431)

0.028 (0.792)

0.089 (0.138)

0.047 (0.752)

0.033 (0.138)

B12

 − 0.120 (0.039)*

0.068 (0.045)*

0.098 (0.021)**

0.008 (0.458)

 − 0.098 (0.871)**

0.028 (0.023)**

0.022 (0.050)*

0.122 (0.082)

0.154 (0.509)

0.004 (0.622)

0.053 (0.134)

0.008 (0.231)

0.154 (0.043)*

0.008 (0.531)

0.005 (0.743)

B22

0.629 (0.040)**

0.5928 (0.050)*

0.153 (0.034)**

0.468 (0.060)*

0.338 (0.080)

3.266 (0.000)*

0.518 (0.050)*

0.351 (0.041)*

0.428 (0.024)*

0.323 (0.000)*

0.443 (0.040)*

0.144 (0.022)*

0.282 (0.030)*

0.138 (0.120)

0.278 (0.250)