Multivariate Time-Varying Copula GARCH Model and Its Application in the Financial Market Risk Measurement

Table 1

Moment estimation results of the daily log return of SSCI, HSI, TAIEX, and SP500.

Types of stock index	Mean	Std.	Skewness	Kurtosis
SSCI		0.0181		7.4467
HSI		0.0177		11.6866
TAIEX		0.0140		17.2823
SP500		0.0148		12.0177