Complexity

Research Article

Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach

Table 2

The coefficient results estimated by the ARMA-APARCH-M model.


Stock indices

US_S&P 500	0.0008	−0.3444	−0.0655	0.1482	−0.1697	0.9753	−0.0655	0.0008	−0.3444
Japan_Nikkei 225	−0.0008	−0.5427	0.0755	0.1949	−0.1120	0.9543	0.0755	−0.0008	−0.5427
Germany_DAX	0.0002	−0.3315	0.0002	0.1254	−0.1260	0.9735	0.0002	0.0002	−0.3315
France_CAC 40	−0.0003	−0.3307	0.0276	0.1126	−0.1651	0.9726	0.0276	−0.0003	−0.3307
UK_FTSE 100	−0.0009	−0.3532	0.1028	0.1329	−0.1266	0.9732	0.1028	−0.0009	−0.3532
Italy_MIB	−0.0002	−0.3033	0.0101	0.1342	−0.1117	0.9770	0.0101	−0.0002	−0.3033
Canada_TSX	0.0001	−0.2143	−0.0022	0.1196	−0.0976	0.9872	−0.0022	0.0001	−0.2143
Russia_RTS	0.0003	−0.2347	−0.0236	0.1237	−0.0754	0.9823	−0.0236	0.0003	−0.2347
China_SSE Composite	−0.0001	−0.1577	0.0414	0.1407	−0.0013	0.9936	0.0414	−0.0001	−0.1577
Argentina_MERVAL	−0.0003	−0.5958	0.0879	0.2202	−0.0503	0.9460	0.0879	−0.0003	−0.5958
Australia_All Ordinaries	−0.0003	−0.3938	0.0536	0.1503	−0.1124	0.9706	0.0536	−0.0003	−0.3938
Brazil_Bovespa	−0.0012	−0.2782	0.0861	0.1144	−0.0681	0.9771	0.0861	−0.0012	−0.2782
India_BSE Sensex	0.0002	−0.2702	0.0267	0.1745	−0.0703	0.9844	0.0267	0.0002	−0.2702
Indonesia_Jakarta Composite	−0.0005	−0.3691	0.1101	0.2050	−0.0638	0.9759	0.1101	−0.0005	−0.3691
Mexico_IPC	−0.0007	−0.2580	0.0836	0.1386	−0.0903	0.9833	0.0836	−0.0007	−0.2580
Saudi Arabia_TASI	0.0012	−0.3862	−0.0848	0.2432	−0.0741	0.9744	−0.0848	0.0012	−0.3862
South Africa_INVSAF40	−0.0006	−0.3108	0.0870	0.1349	−0.1104	0.9772	0.0870	−0.0006	−0.3108
Turkey_ISE 100	0.0011	−0.4093	−0.0432	0.1610	−0.0746	0.9658	−0.0432	0.0011	−0.4093
South Korea_KOSPI	−0.0006	−0.2821	0.0795	0.1408	−0.0774	0.9808	0.0795	−0.0006	−0.2821

Note: denote the coefficients of the mean equation, while denote the coefficients of the conditional variance equation. are the coefficients of ARMA process indicating autoregressive and moving average. is the risk return which exhibits the impact from the conditional variance to return. is the asymmetry coefficient. is the power parameter of conditional heteroskedasticity.