copula

CDX.NA.IG S & P500

CDX.NA.IG VIX

Gaussian

−0.6594

−0.4941

Student-t

−0.7381

−0.5245

Clayton

−0.5791

−0.3402

Gumbel

−0.6544

−0.5118

Frank

−0.6687

−0.4616

SJC

−0.6974

−0.5190

Time-varying SJC

−0.8030

−0.5302

Time-varying normal

−0.7078

−0.4932