Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 2

Estimates of MV-CAViaR model for the overall sample.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
US/China	−0.0350	−0.0157	0.9852	0.0034	−0.0116	0.9942
	(0.0107)***	(0.0047)***	(0.0041)***	(0.0015)**	(0.0016)	(0.0007)***
US/Japan	−0.7877	−1.0917	0.3103	−0.0039	0.0089	1.0045
	(0.1674)***	(0.0853)***	(0.0679)***	(0.0013)***	(0.0025)***	(0.0009)***
US/Australia	−0.4195	−0.6613	0.4356	−0.7129	−1.2766	0.2390
	(0.0740)***	(0.0769)***	(0.0575)***	(0.1552)**	(0.0862)***	(0.0758)***
US/UK	−1.6514	−0.3998	0.0293	0.0357	−0.3188	0.8806
	(0.3451)***	(0.1074)***	(0.1702)***	(0.0173)**	(0.0431)***	(0.0140)***
US/France	−0.2077	−0.3289	0.79422	−1.6113	−0.5503	0.0132
	(0.0466)***	(0.0626)***	(0.0368)***	(0.2641)***	(0.1143)***	(0.1151)
US/Germany	−0.1907	−0.2937	0.8031	−0.0022	−0.2847	0.8669
	(0.0476)***	(0.0608)***	(0.0384)***	(0.0223)	(0.0574)***	(0.0224)***

Note: the overall sample period is from 1/2006 to 7/2013. Standard errors are in parentheses.
**Significant at 5% level.
***Significant at 1% level.