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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