Research Article
Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach
Table 3
The results estimated by the ICA-based ARMA-APARCH-M model for cluster 1.
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Note: The coefficient denotes the contribution of each IC which indicates the impact from each IC to S&P 500 (US) in mean equation of return. |