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

Table 5

Parameter estimates of the four-variate time-varying G-H Copula GARCH (1, 1) model based on SP500 index risk asset.

Model parameters
Estimate
-statistic		5.2684	7.6324	6.3786

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