| Variables | VaR | Media | GOV | DFT | DBT | ABT |
| FTR | 1.000 (0.000***) |
|
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|
| Media | −0.280 (0.006***) | 1.000 (0.000***) |
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|
|
|
| GOV | −0.373 (0.000***) | 0.460 (0.000***) | 1.000 (0.000***) |
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|
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| DFT | −0.045 (0.663) | 0.239 (0.019**) | 0.162 (0.114) | 1.000 (0.000***) |
|
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| DBT | −0.002 (0.985) | 0.370 (0.000***) | 0.388 (0.000***) | 0.730 (0.000***) | 1.000 (0.000***) |
|
| ABT | 0.017 (0.869) | 0.083 (0.422) | 0.043 (0.678) | 0.944 (0.000***) | 0.573 (0.000***) | 1.000 (0.000***) |