Research Article

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

Table 4

The results estimated by the ICA-based ARMA-APARCH-M model for cluster 2.

VariableCoefficientStd. errorz-statisticProb.

IC10.00100.00025.5578 ≤ 0.001
IC2−0.00290.0002−16.9653 ≤ 0.001
IC30.00210.000211.3034 ≤ 0.001
IC4−0.00150.0002−9.1943 ≤ 0.001
IC5−0.00440.0002−25.2339 ≤ 0.001
IC60.00060.00023.2686 ≤ 0.001

Note: the coefficient denotes the contribution of each IC which indicates the impact from each IC to Nikkei 225 (Japan) in mean equation of return.