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

Table 5

The results estimated by the ICA-based ARMA-APARCH-M model for cluster 3.

Variable	Coefficient	Std. error	z-statistic	Prob.
IC1	0.0071	0.0002	29.3460	≤ 0.001
IC2	0.0057	0.0002	25.0421	≤ 0.001
IC3	0.0025	0.0002	10.6856	≤ 0.001
IC4	−0.0062	0.0002	−26.0124	≤ 0.001

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