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
𝑛	14,822	4,545	6,229	6,128	2,512	391	334	329
𝛼0	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)
𝛼1	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)
𝛽	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)
𝛼1+𝛽	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)