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

Table 6

Estimates of correlation coefficients, time-varying parameters, and degree of freedom of four-variate time-varying G-H Copula GARCH (1, 1) model based on SSCI, HSI, TAIEX, and SP500.

Model parameters							a	b	η
Estimate
-statistic	13.51	11.02	3.431	5.763	9.564	2.529	5.179	3.561	6.871

Note: and in the table denote that the parameter is significant at 1% and 5% level, respectively.