Conditional variance equation | Independent component | Corresponding coefficient | Residual error sequences and corresponding weights | Represented variables (markets) | ||
IBOR (n = 1) | s1,t | λ1 | USD-CNY | ω1,1 | 8.2503 | SHCI (Stock market) |
SHCI | ω1,2 | −57.5260 | ||||
s2,t | λ2 | USD-CNY | ω2,1 | 755.6161 | USD-CNY (Foreign exchange market) | |
SHCI | ω2,2 | 3.0716 | ||||
USD-CNY (n = 2) | s1,t | λ1 | IBOR | ω1,1 | −11.1693 | IBOR (Monetary market) |
SHCI | ω1,2 | 1.8892 | ||||
s2,t | λ2 | IBOR | ω2,1 | 0.7943 | SHCI (Stock market) | |
SHCI | ω2,2 | 57.5671 | ||||
SHCI (n = 3) | s1,t | λ1 | USD-CNY | ω1,1 | −754.9730 | USD-CNY (Foreign exchange market) |
IBOR | ω1,2 | −0.0175 | ||||
s2,t | λ2 | USD-CNY | ω2,1 | −5.7614 | IBOR (Monetary market) | |
IBOR | ω2,2 | 11.1895 |