Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market

Table 7

Estimation results of the asymmetrical BEKK-MGARCH model based on the robust standard error.

Parameter	Full sample		Subsample I		Subsample II
	Coefficients	Std error	Coefficients	Std error	Coefficients	Std error
	0.422	0.154	0.148	0.154	0.473	0.297
	0.041	0.084	−0.314	0.098	-0.091	0.142
	−0.018	0.044	−0.179	0.038	-0.103	0.081
	−0.286	0.152	0.013	0.254	-0.646	0.174
	0.043	0.169	0.670	0.136	-0.387	0.246
	−0.179	0.073	0.632	0.124	-0.544	0.134
	−0.086	0.184	0.706	0.194	0.226	0.399
	0.042	0.160	0.219	0.102	0.737	0.235
	0.421	0.099	−0.023	0.165	1.015	0.266
	0.452	0.178	1.713	0.249	1.306	0.353
	0.359	0.140	0.283	0.144	1.606	0.306
	0.176	0.068	0.335	0.095	0.635	0.184
	−0.561	0.173	0.184	0.327	-1.148	0.411
	−0.684	0.208	0.583	0.264	-1.000	0.301
	−0.358	0.114	0.638	0.153	-0.357	0.271
	−0.094	0.452	−2.512	0.547	-0.241	0.486
	0.048	0.259	−1.130	0.275	-1.239	0.413
	−0.099	0.179	−1.530	0.241	-0.639	0.339
Shape (GED) or t-degree	2.038	0.183			4.049	0.996

Note. The symbols , , and indicate statistical significance at the 10%, 5%, and 1% level, respectively.