Research Article
Testing for Nonlinear Dependence in the Credit Default Swap Market
Table 1
Estimation of GARCH (1,1) model for daily log returns.
| | S&P 500 | DAX | FTSE 100 | NIKKEI 225 | BOND FUND | CDS 1 | CDS 2 | CDS 3 |
| | 14,822 | 4,545 | 6,229 | 6,128 | 2,512 | 391 | 334 | 329 | | 7.35E-07 | 2.35E-06 | 1.87E-06 | 1.88E-06 | 3.39E-08 | 0.0002 | −1.40E-07 | 0.0012 | (s.e.) | (6.40E-08) | (3.22E-07) | (2.44E-07) | (2.57E-07) | (1.18E-08) | (9.34E-06) | (3.26E-05) | (0.0003) | | 0.0869 | 0.1020 | 0.0960 | 0.1162 | 0.03230 | 0.2187 | 0.0687 | 0.1337 | (s.e.) | (0.0027) | (0.0058) | (0.0064) | (0.0063) | (0.0052) | (0.0784) | (0.0046) | (0.0145) | | 0.91 | 0.8873 | 0.8857 | 0.8812 | 0.9599 | −0.0346 | 0.9411 | 0.8595 | (s.e.) | (0.0027) | (0.0060) | (0.0068) | (0.0059) | (0.0067) | (0.0529) | (0.0019) | (0.0096) | | 0.9969 | 0.9893 | 0.9817 | 0.9974 | 0.9922 | 0.1841 | 1.0098 | 0.9932 | Log-lik | 50950 | 13679 | 20382 | 18321 | 12042 | 1166 | 150 | 49 | ARCH LM test | 1.8321 | 7.6799 | 0.2903 | 3.1443 | 0.4410 | 0.0157 | 1.0103 | 0.4108 | Prob | (0.1759) | (0.0056) | (0.5901) | (0.0762) | (0.5066) | (0.9003) | (0.3148) | (0.5216) |
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