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

Table 3

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

Model parameters
Estimate
-statistic	4.6539	4.8518	6.1796	6.6079

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