Panel A: VAR(1) - GARCH(1, 1)-BEKK estimations
Colombia - Indonesia
Colombia - Vietnam
Colombia - Egypt
Colombia - Turkey
Colombia - S. Africa
Indonesia - Vietnam
Parameters
Coeff.
Signif.
Coeff.
Signif.
Coeff.
Signif.
Coeff.
Signif.
Coeff.
Signif.
Coeff.
Signif.
βii
0.048
0.293
0.059
0.152
0.035
0.422
0.095**
0.043
0.126**
0.011
−0.005
0.892
βij
−0.032
0.374
0.022
0.369
0.011
0.648
−0.032
0.123
−0.051
0.233
0.019
0.507
βji
0.124**
0.010
0.046
0.183
0.158**
0.007
0.083*
0.075
0.055*
0.071
0.014
0.664
βjj
−0.043
0.308
0.175**
0.000
−0.010
0.783
−0.045
0.187
−0.058
0.162
0.183**
0.000
ωii
0.219
0.701
1.027**
0.000
0.236
0.428
1.111**
0.000
1.153**
0.000
1.309**
0.000
ωij
−0.770
0.437
0.586**
0.006
−2.681**
0.000
0.578**
0.005
0.385**
0.001
−0.085
0.760
ωjj
1.998**
0.000
0.741**
0.000
0.000
1.000
0.543**
0.000
0.425**
0.000
0.976**
0.000
γii
0.406**
0.000
0.388**
0.000
0.382**
0.000
0.515**
0.000
0.494**
0.000
0.338**
0.000
γij
0.384**
0.000
0.050
0.387
0.423**
0.000
0.129**
0.010
0.078**
0.018
−0.019
0.683
γji
−0.084
0.106
0.087**
0.008
−0.043
0.332
0.033
0.212
−0.025
0.695
0.047
0.250
γjj
0.166**
0.005
0.553**
0.000
0.234**
0.000
0.218**
0.000
0.280**
0.000
0.575**
0.000
δii
0.762**
0.000
0.873**
0.000
0.780**
0.000
0.811**
0.000
0.819**
0.000
0.859**
0.000
δij
−0.175**
0.000
−0.049
0.175
−0.277**
0.000
−0.075**
0.003
−0.050**
0.006
−0.013
0.760
δji
0.293**
0.000
−0.053**
0.001
0.247**
0.000
−0.007
0.672
0.007
0.820
0.016
0.513
δjj
0.712**
0.000
0.834**
0.000
0.710**
0.000
0.966**
0.000
0.944**
0.000
0.814**
0.000
Panel B: Diagnostic tests
LBi
24.515
0.432
21.283
0.622
24.653
0.425
22.159
0.570
20.175
0.687
26.715
0.318
LBj
34.224*
0.081
22.949
0.523
38.339**
0.032
38.792*
0.029
24.781
0.418
23.571
0.486
24.762
0.419
19.239
0.739
24.270
0.446
24.058
0.458
21.907
0.585
19.608
0.719
42.450**
0.011
21.861
0.588
31.612
0.137
17.338
0.834
30.337
0.174
21.248
0.624