Parameter number

Parameter

Variable

Coefficient

Std. error

p-value

Nyblom score

p-value of

score

1

${\varphi }_{11}$

$Stoc{k}_{t-1}$

−0.059**

0.0295

0.0464

0.241

0.19

2

${\varphi }_{12}$

$Bon{d}_{t-1}$

0.094***

0.0282

0.0009

0.413

0.07

3

${\varphi }_{13}$

$Tbil{l}_{t-1}$

−1.956***

0.6240

0.0017

0.199

0.26

4

${\varphi }_{10}$

Constant

0.046*

0.0275

0.0920

0.047

0.89

5

${\varphi }_{21}$

$Stoc{k}_{t-1}$

−0.019

0.0263

0.4722

0.035

0.96

6

${\varphi }_{22}$

$Bon{d}_{t-1}$

−0.014

0.0382

0.7152

0.188

0.28

7

${\varphi }_{23}$

$Tbil{l}_{t-1}$

1.120

0.7263

0.1230

0.486

0.04

8

${\varphi }_{20}$

Constant

−0.064**

0.0304

0.0365

0.062

0.79

9

${\varphi }_{31}$

$Stoc{k}_{t-1}$

0.0002

0.0013

0.8887

0.051

0.86

10

${\varphi }_{32}$

$Bon{d}_{t-1}$

0.0019

0.0012

0.1122

0.301

0.13

11

${\varphi }_{33}$

$Tbil{l}_{t-1}$

0.0165

0.0356

0.6435

0.166

0.33

12

${\varphi }_{30}$

Constant

0.0007

0.0014

0.6109

0.084

0.65

13

$c_{11}$

C (1,1)

0.202***

0.0540

0.0002

0.371

0.09

14

$c_{21}$

C (2, 1)

−0.018

0.0350

0.6160

0.069

0.75

15

$c_{22}$

C (2, 2)

0.008

0.0591

0.8880

0.157

0.36

16

$c_{31}$

C (3, 1)

−0.0002

0.0024

0.9458

0.074

0.71

17

$c_{32}$

C (3, 2)

−0.0042

0.0031

0.2369

0.242

0.19

18

$c_{33}$

C (3, 3)

0.00001

0.0365

1.0000

0.227

0.22

19

${\alpha }_{11}$

${\epsilon }_{1t-1}^2$

0.1424*

0.0760

0.0611

0.438

0.06

20

${\alpha }_{12}$

${\epsilon }_{1t-1}{\epsilon }_{2t-1}$

−0.0342

0.0470

0.4663

0.081

0.67

21

${\alpha }_{13}$

${\epsilon }_{1t-1}{\epsilon }_{3t-1}$

−0.0017

0.0024

0.4664

0.160

0.35

22

${\alpha }_{21}$

${\epsilon }_{2t-1}{\epsilon }_{1t-1}$

0.0132

0.0403

0.7436

0.069

0.75