Table 4 Estimated parameters of the dynamic conditional correlation model between real estate and upstream and downstream industries.
From: Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model
Panel A: Real Estate - Construction | ||||||
|---|---|---|---|---|---|---|
DCC-GARCH | DCC-EGARCH | DCC-TGARCH | ||||
θ1 | θ2 | θ1 | θ2 | θ1 | θ2 | |
Coefficient | 0.099 | 0.910 | 0.052 | 0.936 | 0.100 | 0.911 |
Standard deviation | 0.000 | 0.000 | 0.005 | 0.007 | 0.000 | 0.000 |
Z-statistic value | 541077.900 | 514973.400 | 9.393 | 127.093 | 386318.800 | 783457.700 |
Acceptance probability | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Panel B: Real Estate - Building Materials | ||||||
|---|---|---|---|---|---|---|
DCC-GARCH | DCC-EGARCH | DCC-TGARCH | ||||
θ1 | θ2 | θ1 | θ2 | θ1 | θ2 | |
Coefficient | 0.038 | 0.957 | 0.041 | 0.953 | 0.040 | 0.956 |
Standard deviation | 0.004 | 0.005 | 0.004 | 0.005 | 0.004 | 0.005 |
Z-statistic value | 8.931 | 189.458 | 9.166 | 173.949 | 9.036 | 186.099 |
Acceptance probability | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Panel C: Real Estate - Home Appliances | ||||||
|---|---|---|---|---|---|---|
DCC-GARCH | DCC-EGARCH | DCC-TGARCH | ||||
θ1 | θ2 | θ1 | θ2 | θ1 | θ2 | |
Coefficient | 0.043 | 0.950 | 0.041 | 0.953 | 0.040 | 0.950 |
Standard deviation | 0.005 | 0.006 | 0.004 | 0.005 | 0.004 | 0.006 |
Z-statistic value | 9.326 | 168.483 | 9.166 | 173.949 | 9.036 | 166.790 |
Acceptance probability | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Panel D: Real Estate - Household Goods | ||||||
|---|---|---|---|---|---|---|
DCC-GARCH | DCC-EGARCH | DCC-TGARCH | ||||
θ1 | θ2 | θ1 | θ2 | θ1 | θ2 | |
Coefficient | 0.045 | 0.948 | 0.041 | 0.950 | 0.044 | 0.948 |
Standard deviation | 0.005 | 0.006 | 0.004 | 0.006 | 0.005 | 0.006 |
Z-statistic value | 9.737 | 165.290 | 9.189 | 163.438 | 9.712 | 165.849 |
Acceptance probability | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Panel E: Real Estate - Banking | ||||||
|---|---|---|---|---|---|---|
DCC-GARCH | DCC-EGARCH | DCC-TGARCH | ||||
θ1 | θ2 | θ1 | θ2 | θ1 | θ2 | |
Coefficient | 0.029 | 0.957 | 0.025 | 0.964 | 0.029 | 0.958 |
Standard deviation | 0.005 | 0.008 | 0.004 | 0.007 | 0.005 | 0.008 |
Z-statistic value | 5.912 | 117.716 | 5.606 | 133.462 | 5.890 | 118.215 |
Acceptance probability | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
