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.

Variable	Coefficient	Std. error	z-statistic	Prob.
IC1	−0.0016	0.0001	−17.5293	≤ 0.001
IC2	−0.0015	0.0001	−17.1906	≤ 0.001
IC3	−0.0073	0.0001	−84.0053	≤ 0.001
IC4	−0.0026	0.0001	−24.7667	≤ 0.001
IC5	0.0021	0.0001	23.7606	≤ 0.001
IC6	0.0007	0.0001	7.2746	≤ 0.001

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.