| USD/GBP | USD/EUR | USD/SAR | GBP/EUR | GBP/SAR | EURO/SAR |
Gaussian Copula |
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Rho (Std. error) | 0.48 (0.00) | 0.42 (0.01) | 0.29 (0.01) | 0.72 (0.00) | 0.45 (0.00) | 0.48 (0.00) |
Copula Loglik | 640.41 | 466.76 | 211.31 | 1830.77 | 554.48 | 638.77 |
AIC | −1278.82 | −931.52 | −420.62 | −3659.54 | −1106.96 | 1275.53 |
BIC | −1272.32 | −925.02 | −414.11 | −3653.03 | −1100.46 | −1269.03 |
Student-t Copula |
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Rho (Std. error) | 0.47 (0.01) | 0.41 (0.01) | 0.28 (0.01) | 0.73 (0.01) | 0.46 (0.01) | 0.49 (0.01) |
DoF (Std. error) | 6.12 (0.69) | 6.65 (0.82) | 10.21 (1.85) | 6.37 (0.70) | 7.12 (0.83) | 6.02 (0.59) |
Copula Loglik | 691.70 | 509.42 | 229.26 | 1898.13 | 605.54 | 719.71 |
AIC | −1379.41 | −1014.83 | −454.52 | −3792.27 | −1207.08 | −1435.42 |
BIC | −1366.40 | −1001.82 | −441.52 | −3779.26 | −1194.08 | −1422.42 |
Clayton Copula |
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Parameter (Std. error) | 0.68 (0.03) | 0.55 (0.02) | 0.33 (0.01) | 1.52 (0.06) | 0.62 (0.02) | 0.71 (0.03) |
Copula Likelihood | 532.17 | 393.86 | 173.99 | 1562.24 | 460.46 | 551.69 |
AIC | −1062.35 | −785.72 | −345.98 | −3122.48 | −918.92 | −1101.38 |
BIC | −1055.85 | −779.21 | −339.48 | −3115.98 | −912.42 | −1094.88 |
Gumbel Copula |
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Parameter (Std. error) | 1.42 (0.01) | 1.34 (0.01) | 1.20 (0.01) | 1.96 (0.03) | 1.39 (0.01) | 1.44 (0.02) |
Copula Loglik | 618.90 | 446.04 | 200.77 | 1699.80 | 528.58 | 614.75 |
AIC | −1235.81 | −890.08 | −399.54 | −3397.59 | −1055.16 | −1227.49 |
BIC | −1229.30 | −883.58 | −393.04 | −3391.09 | −1048.66 | −1220.99 |
Frank Copula |
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Parameter (Std. error) | 3.09 (0.14) | 2.55 (0.12) | 1.69 (0.10) | 6.19 (0.40) | 2.99 (0.14) | 3.35 (0.15) |
Copula Loglik | 555.65 | 391.82 | 181.20 | 1687.55 | 528.55 | 639.95 |
AIC | −1109.30 | −781.64 | −360.40 | −3373.11 | −1055.11 | −1277.89 |
BIC | −1102.80 | −775.13 | −353.89 | −3366.61 | −1048.61 | −1271.39 |
Joe Copula |
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Parameter (Std. error) | 1.53 (0.02) | 1.42 (0.02) | 1.25 (0.01) | 2.19 (0.03) | 1.49 (0.02) | 1.54 (0.02) |
Upper Tail | 0.43 | 0.37 | 0.26 | 0.63 | 0.41 | 0.43 |
Copula Loglik | 472.40 | 336.92 | 149.66 | 1286.41 | 393.68 | 450.12 |
AIC | −942.81 | −671.84 | −297.32 | −2570.83 | −785.37 | −898.24 |
BIC | −936.31 | −665.34 | −290.82 | −2564.32 | −778.86 | −891.74 |