Panel A: VAR(1)- GARCH(1. 1)-BEKK estimations

Indonesia - Egypt

Indonesia - Turkey

Indonesia - S. Africa

Egypt - Vietnam

Egypt - Turkey

Egypt - South Africa

Parameters

Coeff.

Signif.

Coeff.

Signif.

Coeff.

Signif.

Coeff.

Signif.

Coeff.

Signif.

Coeff.

Signif.

βii

−0.022

0.609

−0.015

0.741

0.004

0.926

−0.016

0.694

−0.030

0.431

0.032

0.414

βij

0.051*

0.095

0.063**

0.032

0.136**

0.008

−0.013

0.744

0.124**

0.001

0.249**

0.000

βji

0.100*

0.082

0.007

0.887

0.002

0.943

0.004

0.880

−0.066*

0.069

0.013

0.561

βjj

0.011

0.793

0.010

0.819

−0.054

0.215

0.185**

0.000

0.027

0.492

−0.064

0.107

ωii

1.324**

0.000

1.217**

0.000

1.187**

0.000

1.986**

0.003

0.743

0.410

1.193**

0.003

ωij

0.387

0.260

1.167**

0.000

0.679**

0.000

−0.884**

0.000

−1.092

0.153

0.380**

0.040

ωjj

1.354**

0.000

0.381**

0.001

0.206**

0.013

0.000

1.000

0.003

1.000

0.615**

0.000

γii

0.386**

0.000

0.417**

0.000

0.249**

0.000

0.214**

0.000

0.145**

0.000

0.217**

0.000

γij

0.086

0.355

0.150*

0.056

0.022

0.478

−0.074**

0.040

−0.223**

0.000

0.016

0.604

γji

0.070*

0.075

0.018

0.764

0.383**

0.000

−0.004

0.956

0.244**

0.000

0.365**

0.000

γjj

0.269**

0.000

0.202**

0.000

0.401**

0.000

0.615**

0.000

0.295**

0.000

0.400**

0.000

δii

0.835**

0.000

0.855**

0.000

0.851**

0.000

0.855**

0.000

0.978**

0.000

0.923**

0.000

δij

−0.014

0.853

−0.113**

0.002

−0.086**

0.000

0.104**

0.011

0.483**

0.000

−0.004

0.846

δji

−0.014

0.673

−0.019

0.421

−0.077**

0.000

0.070

0.322

−0.427**

0.000

−0.170**

0.001

δjj

0.904**

0.000

0.954**

0.000

0.926**

0.000

0.778**

0.000

0.642**

0.000

0.878**

0.000

Panel B: Diagnostic tests

LBi

24.379

0.440

25.377

0.386

24.379

0.440

39.802

0.022

37.277

0.041

35.799*

0.057

LBj

35.082*

0.067

38.289*

0.032

35.082*

0.067

24.160

0.453

37.414*

0.040

25.517

0.378

15.259

0.913

16.328

0.876

15.259

0.913

24.206

0.450

11.769

0.982

9.456

0.996

7.304

1.000

18.313

0.788

7.304

1.000

23.076

0.515

21.805

0.591

25.855

0.361