ARCH Coefficient

GARCH Coefficient

Brazil

Variables

BOVESPA

WTI

BRL

BOVESPA

WTI

BRL

BOVESPA

0.0511

0.0431

0.0668

0.8727

0.9101

0.8764

WTI

0.0426

0.0562

0.9374

0.9139

BRL

0.0871

0.8799

Indonesia

Variables

JKSE

WTI

IDR

JKSE

WTI

IDR

JKSE

0.0974

0.0787

0.1612

0.8838

0.9001

0.8015

WTI

0.0426

0.1302

0.9374

0.8162

IDR

0.2668

0.7268

Malaysia

Variables

KLCI

WTI

MYR

KLCI

WTI

MYR

KLCI

0.1459

0.0539

0.0818

0.7393

0.8325

0.7879

WTI

0.0426

0.0302

0.9374

0.8873

MYR

0.0419

0.8399

Pakistan

Variables

KSE

WTI

PKR

KSE

WTI

PKR

KSE

0.0726

0.0556

0.1005

0.8007

0.8544

0.5412

WTI

0.0426

0.0769

0.9374

0.5775

PKR

0.1390

0.3658

S Korea

Variables

KOSPI

WTI

KRW

KOSPI

WTI

KRW

KOSPI

0.1049

0.0176

0.1269

0.8504

0.9055

0.8089

WTI

0.0426

0.0213

0.9374

0.8614

KRW

0.1535

0.7696