Economics Research International

Research Article

Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 8

BDS Statistics and probability estimates for TGARCH and EGARCH models.


	S&P	DAX	FTSE 100	NIKKEI 225	BOND FUND	CDS1	CDS2	CDS3

TGARCH
	0.7	0.7	0.7	0.7	0.7	1	1	1
	0.5820	−0.5497	1.1761	0.2822	1.5608	0.8694	4.8089*	9.2551*
Prob	0.5606	0.5826	0.2395	0.7778	0.1186	0.3760	0.0000	0.0000
	1.0135	−0.1258	0.6062	0.1693	1.3082	1.4496	5.3619*	8.1994*
Prob	0.3108	0.8999	0.5444	0.8655	0.1908	0.1768	0.0000	0.0000
	0.4627	−0.1995	0.3017	0.3163	0.6240	1.4503	5.9207*	7.8838*
Prob	0.6436	0.8419	0.7629	0.7518	0.5326	0.1664	0.0000	0.0000
	0.1204	−0.3368	0.5750	0.4451	0.9062	1.1661	6.5555*	8.3414*
Prob	0.9042	0.7362	0.5653	0.6562	0.3648	0.2408	0.0000	0.0000

EGARCH
	0.7	0.7	0.7	0.7	0.7	1	1	1
	0.7269	−0.2571	1.3173	0.1039	1.1104	0.5805	5.6316*	12.2350*
Prob	0.4673	0.7971	0.1877	0.9173	0.2668	0.5192	0.0000	0.0000
	1.1056	0.1303	0.7917	−0.0181	1.0496	0.8195	6.3627*	12.3810*
Prob	0.2689	0.8963	0.4285	0.9856	0.2939	0.3800	0.0000	0.0000
	0.5558	0.0422	0.4545	0.1717	0.3811	0.3267	6.1578*	13.0050*
Prob	0.5783	0.9663	0.6495	0.8637	0.7031	0.6736	0.0000	0.0000
	0.2490	0.0348	0.6745	0.3748	0.6792	−0.2241	6.4323*	14.6020*
Prob	0.8034	0.9722	0.5000	0.7078	0.4970	0.9136	0.0000	0.0000