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 |