Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market
Table 8
Estimation results for the asymmetrical BEKK-MGARCH model based on different distributions of residuals.
Parameters
GED
Student-t
Normal
Coeff
Std error
Coeff
Std error
Coeff
Std error
0.422
0.112 (0.154)
0.526
0.160 (0.281)
0.362
0.126 (0.217)
0.041
0.083 (0.084)
0.055
0.112 (0.150)
−0.212
0.103 (0.138)
−0.018
0.046 (0.044)
0.004
0.064 (0.057)
−0.135
0.057 (0.053)
−0.286
0.139 (0.152)
−0.453
0.228(0.362)
0.361
0.191 (0.250)
0.043
0.135 (0.169)
−0.015
0.211 (0.317)
0.915
0.203 (0.381)
−0.179
0.073 (0.073)
−0.394
0.121 (0.161)
0.318
0.146(0.320)
−0.086
0.191 (0.184)
0.007
0.248 (0.226)
−0.311
0.296 (0.388)
0.042
0.153(0.160)
0.123
0.210 (0.207)
−0.279
0.242 (0.285)
0.421
0.104 (0.099)
0.758
0.123 (0.110)
0.384
0.179 (0.234)
0.452
0.186 (0.178)
−0.090
0.364(0.621)
0.404
0.203 (0.229)
0.359
0.131 (0.140)
−0.411
0.235 (0.327)
0.031
0.178 (0.181)
0.176
0.072 (0.068)
−0.252
0.120 (0.143)
−0.005
0.110 (0.095)
−0.561
0.193 (0.173)
0.446
0.264(0.280)
−0.065
0.325 (0.285
−0.684
0.185 (0.208)
0.942
0.270 (0.378)
0.252
0.372 (0.409)
−0.358
0.113 (0.114)
0.504
0.177 (0.208)
0.263
0.217 (0.268)
−0.094
0.374 (0.452)
0.611
0.639 (1.059)
−0.433
0.480 (0.417)
0.048
0.270 (0.259)
−0.007
0.455 (0.675)
−0.060
0.461 (0.510)
−0.099
0.184 (0.179)
0.308
0.270 (0.336)
−0.355
0.286 (0.334)
Shape (GED) or t-degree
2.038
0.187 (0.183)
5.339
1.057 (1.020)
Note. The values in parenthesis are Newey–West robust standard errors. The symbols ,, and indicate statistical significance at the 10%, 5%, and 1% level, respectively.
