Panel A: GARCH(1. 1)-BEKK estimations | ||||||||
| Turkey - South Africa | Vietnam - S. Africa | Vietnam - Turkey | |||||
Parameters | Coeff. | Signif. | Coeff. | Signif. | Coeff. | Signif. | ||
βii | 0.198** | 0.000 | 0.198** | 0.000 | 0.195** | 0.000 | ||
βij | −0.053 | 0.227 | −0.053 | 0.227 | 0.044** | 0.046 | ||
βji | 0.036 | 0.110 | 0.036 | 0.110 | 0.056 | 0.132 | ||
βjj | −0.063 | 0.120 | −0.063 | 0.120 | −0.041 | 0.237 | ||
ωii | 0.614** | 0.013 | 0.614** | 0.013 | 0.762** | 0.000 | ||
ωij | −0.267 | 0.587 | −0.267 | 0.587 | 0.513 | 0.120 | ||
ωjj | 0.669** | 0.000 | 0.669** | 0.000 | 0.490* | 0.084 | ||
γii | 0.490** | 0.000 | 0.490** | 0.000 | 0.552** | 0.000 | ||
γij | 0.022 | 0.583 | 0.022 | 0.583 | 0.089** | 0.050 | ||
γji | −0.183* | 0.063 | −0.183* | 0.063 | 0.054** | 0.039 | ||
γjj | 0.322** | 0.000 | 0.322** | 0.000 | 0.182** | 0.000 | ||
δii | 0.868** | 0.000 | 0.868** | 0.000 | 0.839** | 0.000 | ||
δij | −0.005 | 0.855 | −0.005 | 0.855 | −0.042** | 0.044 | ||
δji | 0.082 | 0.169 | 0.082 | 0.169 | −0.020 | 0.166 | ||
δjj | 0.908** | 0.000 | 0.908** | 0.000 | 0.970** | 0.000 | ||
Panel B: Diagnostic tests | ||||||||
LBi | 22.686 | 0.538 | 22.686 | 0.538 | 19.639 | 0.717 |
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LBj | 25.623 | 0.373 | 25.623 | 0.373 | 38.635* | 0.030 |
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| 21.539 | 0.607 | 21.539 | 0.607 | 22.394 | 0.556 |
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| 36.728 | 0.047 | 36.728 | 0.047 | 21.914 | 0.584 |
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