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

Table 2

Parameter estimates of the four-variate time-varying G-H Copula GARCH (1, 1) model based on SSCI index risk asset.

Model parameters
Estimate	0.00025	0.0551	0.0617	0.8583
-statistic	4.8653	4.6851	6.5764	4.4009

Note: in the table denotes that the parameter is significant at 1% level.