Table 5 Variance equation results
From: Examining volatility spillover between Asian countries’ stock markets
DV | India | Sri Lanka | Hong Kong | Pakistan | Japan | China |
|---|---|---|---|---|---|---|
α 0 | −7.77E−08 | 0.0001** | 0.0001** | 0.0001** | 0.0001** | 0.0001** |
(9.35E−08) | (1.35E−05) | (3.73E−05) | (5.08E−05) | (1.68E−05) | (1.51E−05) | |
\( {\beta}_1{\varepsilon}_{t-1}^2 \) | −0.1831** | 0.1443** | 0.1112** | 0.0509 | 0.1180** | 0.0972** |
(0.0293) | (0.0211) | (0.0312) | (0.0754) | (0.0319) | (0.0254) | |
α 1 h t − 1 | 0.4162** | 0.5485** | 0.5234** | −0.0536 | 0.5295** | 0.4699** |
(0.0617) | (0.0570) | (0.0994) | (0.3326) | (0.0527) | (0.0219) | |
RSD_India | 0.4640** | −0.0001 | −0.0036 | −0.0052 | −0.0079 | −0.0104** |
0.185 | (0.0019) | (0.0136) | (0.0031) | (0.0046) | (0.0008) | |
RSD_Sri Lanka | 0.0003 | 0.0127** | −0.0200** | 0.0067 | −0.0172** | −0.0209** |
(0.0005) | (0.0022) | (0.0029) | (0.0013) | (0.0024) | (0.0011) | |
RSD_HongKong | 0.0051** | −0.0061* | 0.0235* | −0.0004 | 0.0029 | 0.0039 |
(0.0017) | (0.0028) | (0.0091) | (0.0049) | (0.0082) | (0.0084) | |
RSD_Pakistan | 0.0003 | −0.0244** | −0.0411** | 0.2073** | −0.0398** | −0.0219 |
(0.0006) | (0.0029) | (0.0036) | (0.0195) | (0.0061) | (0.0154) | |
RSD_Japan | −7.93E−05 | −0.0055 | 0.0021 | −0.0047 | 0.0193* | −0.0098** |
(0.0002) | (0.0040) | (0.0132) | (0.0055) | (0.0087) | (0.0104) | |
RSD_China | 9.71E−06 | −0.0159** | −0.0119 | −0.0037 | −0.0229** | 0.0489** |
(0.0004) | (0.0024) | (0.0086) | (0.0085) | (0.0082) | (0.0070) |
