Mathematical Problems in Engineering / 2015 / Article / Tab 2

Research Article

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

Estimate0.000250.05510.06170.8583
-statistic4.86534.68516.57644.4009

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