Test item

Hypotheses Testing 1

Hypotheses Testing 2

Hypotheses Testing 3

Stock and exchange market

no one-way volatility spillover from stock market to exchange market

Wald = 235.24***

no one-way volatility spillover from exchange market to stock market

Wald = 26.20***

no volatility spillover between stock market and exchange market

Wald = 251.15***

Stock and money market

no one-way volatility spillover from stock market to money market

Wald = 8.35**

no one-way volatility spillover from money market to stock market

Wald = 0.37

no volatility spillover between stock market and money market

Wald = 8.49**

Exchange and money market

no one-way volatility spillover from exchange market to money market

Wald = 0.34

no one-way volatility spillover from money market to exchange market

Wald = 14.19***

no volatility spillover between exchange market and money market

Wald = 14.36***