Parameters

IBOR

USD-CNY

SHCI

c

−0.1508*** (0.0000)

−11.1616*** (0.0000)

−0.1846*** (0.0000)

γ

0.9888*** (0.0000)

−0.2426*** (0.0000)

0.4434*** (0.0000)

α

0.1513*** (0.0000)

0.4003*** (0.0000)

0.0858*** (0.0000)

β

0.1208*** (0.0000)

−0.1071*** (0.0000)

0.0006 (0.9059)

λ₁

−0.0047* (0.0793)

−0.1019*** (0.0000)

0.0052 (0.1181)

λ₂

−0.0625*** (0.0000)

0.0107 (0.3819)

−0.0188*** (0.0000)

log likelihood

4034.37

15150.23

7912.47

AIC

−2.8465

−10.7005

−5.5846