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

Table 4

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

Model parameters
Estimate	0.00040
-statistic		4.3523	5.9817	6.5935

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