Table 2 Estimation results from the DCC-GARCH model.
From: Analysis of financial contagion in influential African stock markets
Return equation | Variance equation | Persistence | |||||
|---|---|---|---|---|---|---|---|
\({\varvec{\gamma}}_{0}\) | \({\varvec{\gamma}}_{1}\) | \({\varvec{\gamma}}_{2}\) | C | A | B | ||
SouthAfrica | 1.639*** (5.410) | − 0.235** (− 2.240) | 0.051 (0.500) | 2.029 (1.430) | 0.173** (2.090) | 0.707*** (5.440) | 0.880 |
Nigeria | 0.716 (1.170) | 0.196* (1.940) | 0.209 (1.260) | 7.661** (2.100) | 0.177** (2.210) | 0.690*** (7.240) | 0.866 |
Egypt | 2.108*** (2.720) | 0.093 (0.950) | 0.063 (0.310) | 30.329 (0.780) | 0.065 (0.710) | 0.603 (1.250) | 0.668 |
Tunisia | 1.187*** (3.680) | 0.101 (1.090) | 0.029 (0.330) | 3.994** (2.060) | 0.191 (1.520) | 0.538*** (3.120) | 0.730 |
Kenya | 0.679 (1.580) | 0.080 (0.670) | − 0.006 (− 0.040) | 21.887 (0.001) | 0.366 (0.019) | 0.041 (−0.785) | 0.407 |
USA | 0.856*** (3.200) | 0.035 (− 0.360) | 0.882 (1.130) | 0.244*** (2.590) | 0.718*** (6.580) | 0.962 | |