Risk Estimation in Exchange Rate Markets Based on Stochastic Copula Approach

Table 3

Parameter estimations for marginal distributions and statistical test.

	USD/TRY: TGARCH-ST (skewed)			EUR/TRY: TGARCH-ST (skewed)
Parameter	Value	Std. error	P value	Value	Std. error	P value
	−1.60457	0.05474	<0.001	0.76112	0.03235	<0.001
	−0.83524	0.03072	<0.001	—	—	—
	−0.04556	0.01180	<0.001	—	—	—
	1.58162	0.05503	<0.001	−0.77093	0.03189	<0.001
	0.79146	0.02581	<0.001	—	—	—
	0.00011	0.00004	<0.001	0.00018	0.00006	<0.001
	0.07649	0.01576	<0.001	0.09120	0.01740	<0.001
	0.92689	0.01642	<0.001	0.90527	0.01949	<0.001
	−0.37096	0.10895	<0.001	−0.44036	0.10233	<0.001
	5.80374	0.60787	<0.001	6.26857	0.69364	<0.001
	1.14864	0.02975	<0.001	1.08954	0.02812	<0.001
Ljung box Q stat.	3.3947			8.9556
P value	0.8462			0.2559
ARCH LM stat.	10.964			8.1992
P value	0.1402			0.3154
JPY/TRY: TGARCH-ST (skewed)
Parameter	Value		Std. error		P-value
	0.53027		0.04661		<0.001
	−0.56260		0.04552		<0.001
	0.00039		0.00009		<0.001
	0.10113		0.01413		<0.001
	0.88710		0.01625		<0.001
	−0.46406		0.09934		<0.001
	5.58052		0.59365		<0.001
	1.11510		0.02753		<0.001
Ljung box Q stat.	8.7512
P value	0.2710
ARCH LM stat.	5.8363
P value	0.5590