Country
Risk Metrics
EGARCH
EGARCH-V
EGARCH-LV
UC
CC
UC
CC
UC
CC
UC
CC
France
7.76%
0.000
0.000
7.20%
0.001
0.003
7.12%
0.001
0.004
5.92%
0.145
0.338
Germany
7.71%
0.000
0.000
7.00%
0.002
0.004
6.44%
0.024
0.038
6.68%
0.009
0.015
Japan
6.56%
0.014
0.002
6.64%
0.010
0.030
5.16%
0.794
0.915
5.55%
0.374
0.397
Netherlands
7.12%
0.001
0.001
6.48%
0.021
0.066
5.52%
0.403
0.397
4.56%
0.473
0.712
Spain
7.52%
0.000
0.000
6.88%
0.004
0.010
5.20%
0.742
0.924
5.68%
0.277
0.093
Switerlands
6.54%
0.016
0.000
6.38%
0.030
0.024
6.38%
0.030
0.068
5.83%
0.185
0.297
UK
6.91%
0.003
0.000
6.75%
0.007
0.010
5.48%
0.437
0.211
6.12%
0.078
0.209
USA
7.75%
0.000
0.000
7.91%
0.000
0.000
6.33%
0.036
0.112
7.28%
0.000
0.002
China
6.21%
0.070
0.170
6.52%
0.022
0.071
5.59%
0.402
0.423
5.43%
0.556
0.834
Colombia
4.94%
0.924
0.000
5.94%
0.129
0.002
5.48%
0.432
0.043
4.55%
0.457
0.137
Hong Kong
6.57%
0.014
0.002
5.71%
0.253
0.476
5.39%
0.518
0.802
6.25%
0.046
0.124
India
6.28%
0.042
0.115
6.05%
0.095
0.025
4.01%
0.094
0.172
5.42%
0.493
0.410
Mexico
7.13%
0.001
0.005
6.26%
0.047
0.084
4.60%
0.509
0.583
4.20%
0.182
0.218
South Korea
7.37%
0.000
0.000
5.88%
0.159
0.177
4.08%
0.119
0.143
4.62%
0.537
0.815
Taiwan
6.74%
0.007
0.003
6.50%
0.018
0.019
5.25%
0.679
0.877
6.35%
0.033
0.012
Turkey
6.17%
0.064
0.006
5.78%
0.214
0.192
4.27%
0.226
0.129
4.03%
0.105
0.122
France
3.20%
0.000
0.000
1.84%
0.007
0.018
1.68%
0.027
0.061
1.68%
0.027
0.061
Germany
2.62%
0.000
0.000
1.51%
0.090
0.178
1.91%
0.004
0.010
1.35%
0.233
0.389
Japan
3.20%
0.000
0.000
2.34%
0.000
0.000
1.80%
0.010
0.026
2.19%
0.000
0.001
Netherlands
3.28%
0.000
0.000
2.16%
0.000
0.001
1.12%
0.674
0.781
1.52%
0.086
0.170
Spain
2.40%
0.000
0.000
1.36%
0.224
0.378
1.20%
0.489
0.656
1.28%
0.339
0.514
Switerlands
3.07%
0.000
0.000
1.89%
0.005
0.011
1.57%
0.057
0.119
1.73%
0.017
0.040
UK
3.02%
0.000
0.000
2.38%
0.000
0.000
1.67%
0.029
0.061
1.75%
0.016
0.038
USA
3.16%
0.000
0.000
2.29%
0.000
0.000
1.90%
0.004
0.011
2.22%
0.000
0.000
China
2.17%
0.000
0.001
1.63%
0.037
0.073
1.48%
0.109
0.155
1.48%
0.109
0.155
Colombia
2.55%
0.000
0.000
1.62%
0.039
0.077
1.62%
0.039
0.077
1.70%
0.022
0.049
Hong Kong
2.35%
0.000
0.000
1.41%
0.167
0.030
0.86%
0.608
0.190
1.49%
0.103
0.149
India
2.04%
0.001
0.003
1.26%
0.374
0.289
1.26%
0.374
0.289
1.34%
0.251
0.246
Mexico
2.77%
0.000
0.000
1.66%
0.030
0.067
1.35%
0.238
0.395
1.74%
0.016
0.038
South Korea
2.90%
0.000
0.000
1.25%
0.379
0.554
0.94%
0.831
0.872
1.10%
0.729
0.806
Taiwan
2.74%
0.000
0.000
1.80%
0.010
0.006
1.65%
0.034
0.068
1.65%
0.034
0.014
Turkey
2.29%
0.000
0.000
1.27%
0.360
0.284
1.03%
0.917
0.298
1.11%
0.703
0.319