Country | Risk Metrics | EGARCH | EGARCH-V | EGARCH-LV | ||||||||
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| UC | CC |
| UC | CC |
| UC | CC |
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France | 7.76% | 0.000 | 0.000 | 7.20% | 0.001 | 0.003 | 7.12% | 0.001 | 0.004 | 5.92% | 0.145 | 0.338 |
Germany | 7.71% | 0.000 | 0.000 | 7.00% | 0.002 | 0.004 | 6.44% | 0.024 | 0.038 | 6.68% | 0.009 | 0.015 |
Japan | 6.56% | 0.014 | 0.002 | 6.64% | 0.010 | 0.030 | 5.16% | 0.794 | 0.915 | 5.55% | 0.374 | 0.397 |
Netherlands | 7.12% | 0.001 | 0.001 | 6.48% | 0.021 | 0.066 | 5.52% | 0.403 | 0.397 | 4.56% | 0.473 | 0.712 |
Spain | 7.52% | 0.000 | 0.000 | 6.88% | 0.004 | 0.010 | 5.20% | 0.742 | 0.924 | 5.68% | 0.277 | 0.093 |
Switerlands | 6.54% | 0.016 | 0.000 | 6.38% | 0.030 | 0.024 | 6.38% | 0.030 | 0.068 | 5.83% | 0.185 | 0.297 |
UK | 6.91% | 0.003 | 0.000 | 6.75% | 0.007 | 0.010 | 5.48% | 0.437 | 0.211 | 6.12% | 0.078 | 0.209 |
USA | 7.75% | 0.000 | 0.000 | 7.91% | 0.000 | 0.000 | 6.33% | 0.036 | 0.112 | 7.28% | 0.000 | 0.002 |
China | 6.21% | 0.070 | 0.170 | 6.52% | 0.022 | 0.071 | 5.59% | 0.402 | 0.423 | 5.43% | 0.556 | 0.834 |
Colombia | 4.94% | 0.924 | 0.000 | 5.94% | 0.129 | 0.002 | 5.48% | 0.432 | 0.043 | 4.55% | 0.457 | 0.137 |
Hong Kong | 6.57% | 0.014 | 0.002 | 5.71% | 0.253 | 0.476 | 5.39% | 0.518 | 0.802 | 6.25% | 0.046 | 0.124 |
India | 6.28% | 0.042 | 0.115 | 6.05% | 0.095 | 0.025 | 4.01% | 0.094 | 0.172 | 5.42% | 0.493 | 0.410 |
Mexico | 7.13% | 0.001 | 0.005 | 6.26% | 0.047 | 0.084 | 4.60% | 0.509 | 0.583 | 4.20% | 0.182 | 0.218 |
South Korea | 7.37% | 0.000 | 0.000 | 5.88% | 0.159 | 0.177 | 4.08% | 0.119 | 0.143 | 4.62% | 0.537 | 0.815 |
Taiwan | 6.74% | 0.007 | 0.003 | 6.50% | 0.018 | 0.019 | 5.25% | 0.679 | 0.877 | 6.35% | 0.033 | 0.012 |
Turkey | 6.17% | 0.064 | 0.006 | 5.78% | 0.214 | 0.192 | 4.27% | 0.226 | 0.129 | 4.03% | 0.105 | 0.122 |
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France | 3.20% | 0.000 | 0.000 | 1.84% | 0.007 | 0.018 | 1.68% | 0.027 | 0.061 | 1.68% | 0.027 | 0.061 |
Germany | 2.62% | 0.000 | 0.000 | 1.51% | 0.090 | 0.178 | 1.91% | 0.004 | 0.010 | 1.35% | 0.233 | 0.389 |
Japan | 3.20% | 0.000 | 0.000 | 2.34% | 0.000 | 0.000 | 1.80% | 0.010 | 0.026 | 2.19% | 0.000 | 0.001 |
Netherlands | 3.28% | 0.000 | 0.000 | 2.16% | 0.000 | 0.001 | 1.12% | 0.674 | 0.781 | 1.52% | 0.086 | 0.170 |
Spain | 2.40% | 0.000 | 0.000 | 1.36% | 0.224 | 0.378 | 1.20% | 0.489 | 0.656 | 1.28% | 0.339 | 0.514 |
Switerlands | 3.07% | 0.000 | 0.000 | 1.89% | 0.005 | 0.011 | 1.57% | 0.057 | 0.119 | 1.73% | 0.017 | 0.040 |
UK | 3.02% | 0.000 | 0.000 | 2.38% | 0.000 | 0.000 | 1.67% | 0.029 | 0.061 | 1.75% | 0.016 | 0.038 |
USA | 3.16% | 0.000 | 0.000 | 2.29% | 0.000 | 0.000 | 1.90% | 0.004 | 0.011 | 2.22% | 0.000 | 0.000 |
China | 2.17% | 0.000 | 0.001 | 1.63% | 0.037 | 0.073 | 1.48% | 0.109 | 0.155 | 1.48% | 0.109 | 0.155 |
Colombia | 2.55% | 0.000 | 0.000 | 1.62% | 0.039 | 0.077 | 1.62% | 0.039 | 0.077 | 1.70% | 0.022 | 0.049 |
Hong Kong | 2.35% | 0.000 | 0.000 | 1.41% | 0.167 | 0.030 | 0.86% | 0.608 | 0.190 | 1.49% | 0.103 | 0.149 |
India | 2.04% | 0.001 | 0.003 | 1.26% | 0.374 | 0.289 | 1.26% | 0.374 | 0.289 | 1.34% | 0.251 | 0.246 |
Mexico | 2.77% | 0.000 | 0.000 | 1.66% | 0.030 | 0.067 | 1.35% | 0.238 | 0.395 | 1.74% | 0.016 | 0.038 |
South Korea | 2.90% | 0.000 | 0.000 | 1.25% | 0.379 | 0.554 | 0.94% | 0.831 | 0.872 | 1.10% | 0.729 | 0.806 |
Taiwan | 2.74% | 0.000 | 0.000 | 1.80% | 0.010 | 0.006 | 1.65% | 0.034 | 0.068 | 1.65% | 0.034 | 0.014 |
Turkey | 2.29% | 0.000 | 0.000 | 1.27% | 0.360 | 0.284 | 1.03% | 0.917 | 0.298 | 1.11% | 0.703 | 0.319 |