Asymmetric Risk Spillover Networks and Risk Contagion Driver in Chinese Financial Markets: The Perspective of Economic Policy Uncertainty

Table 2

Test of lagged order of VAR model.

Lag	LogL	LR	FPE	AIC	SC	HQ
0	−17614.6	NA	0.021	10.349	10.358	10.352
1	−17529.9	169.264	0.021	10.314	10.368	10.333
2	−17496.7	66.096	0.021	10.309	10.408	10.345
3	−17474.5	44.282	0.021	10.311	10.455	10.362
4	−17452.7	43.214	0.021	10.313	10.502	10.380
Joint significance test of VAR (2) parameters
	Bank	Securities	Insurance	Estate	Diversified finance	General
Lag 1	30.216	13.304	23.982	18.077	22.359	166.458
	[0.000]	[0.021]	[0.000]	[0.003]	[0.000]	[0.000]
Lag 2	3.421	12.296	2.909	4.840	16.368	68.247
	[0.635]	[0.031]	[0.714]	[0.436]	[0.006]	[0.000]

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