Mathematical Problems in Engineering / 2015 / Article / Tab 5

Research Article

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
-statistic5.26847.63246.3786

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