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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
  1. Table U.S. represents U.S. stock returns. The persistence level of the variance is calculated as the summation of the coefficients in the variance equations (A + B). The t statistics are in parentheses. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels with critical values of 2.58, 1.96, and 1.65, respectively
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