Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Table 4

Estimation results of the selected parameters in the TVP-VAR model.

Parameter	Mean	St. dev.	95% interval	CD	Inefficiency
(sb1)	0.0225	0.0025	[0.0182,0.0280]	0.108	8.38
(sb2)	0.0224	0.0027	[0.0181,0.0286]	0.573	14.48
(sa1)	0.0403	0.0069	[0.0287.0.0556]	0.414	23.51
(sa2)	0.0298	0.0037	[0.0236,0.0382]	0.970	15.30
(sh1)	0.1959	0.0556	[0.1051,0.3192]	0.795	65.17
(sh2)	0.5750	0.1470	[0.3343,0.9001]	0.282	58.76

Note. The estimates of Σ_β and are multiplied by 100.