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 | |||