copula

parameter

CDX.NA.IG S & P500

CDX.NA.IG VIX

Gaussian

$\rho$

−0.6952

0.6248

Student-t

$\rho$

−0.7212

0.6375

$\upsilon$

4.2414

6.7759

Clayton

$\delta$

1.3322

0.9711

Gumbel

$\omega$

1.9815

1.7395

Frank

$\tau$

−6.2039

4.7747

SJC

${\lambda }^U$

0.4808

0.5013

${\lambda }^l$

0.5525

0.3456

Time-varying SJC

${\omega }_U$

−1.7002

1.0137

${\alpha }_U$

−1.4526

−3.1406

${\beta }_U$

3.8828

−0.8633

${\omega }_L$

−1.9516

−1.9341

${\alpha }_L$

−0.3817

−0.5891

${\beta }_L$

4.0453

4.0637

Time-varying normal

${\omega }_{\rho }$

4.1369

3.4916

${\alpha }_{\rho }$

−0.7603

−0.2037

${\beta }_{\rho }$

−2.4695

−3.0003