β0 | β1 | β2 | β3 | β4 | α | p1 | p2 | μ | σ | a | b | c | d | |
Panel A: C-SSAEPD-EGARCH | ||||||||||||||
UK in Global | 0.59* | 0.72* | 0.44* | −0.39* | −0.14* | 0.45* | 1.79* | 1.78* | - | - | 0.60* | 0.79* | 0.12* | 0.16* |
UK in US | 0.36* | 0.78* | 0.20* | −0.31* | −0.08* | 0.49* | 1.70* | 1.70* | - | - | 0.51* | 0.41* | 0.13* | 0.32* |
Panel B: C-Normal | ||||||||||||||
UK in Global | 0.44* | 0.76* | 0.45* | −0.40* | −0.12* | - | - | - | 0.00 | 4.25 | - | - | - | - |
UK in US | 0.33* | 0.81* | 0.26* | −0.45* | −0.13* | - | - | - | 0.00 | 4.11 | ||||
Panel C: FF-Normal | ||||||||||||||
UK in Global | 0.36* | 0.78* | 0.43* | −0.33* | - | - | - | - | 0.00 | 4.27 | - | - | - | - |
UK in US | 0.28* | 0.85* | 0.23* | −0.37* | - | - | - | - | 0.00 | 4.14 | - | - | - | - |