Table 6 DCC-EGARCH dynamic conditional correlation coefficients.
From: Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model
DCC-EGARCH | The dynamic conditional correlation coefficient | Standard deviation |
|---|---|---|
Real Estate-Construction | 0.7584 | 0.1236 |
Real Estate-Building Materials | 0.7473 | 0.1247 |
Real Estate-Home Appliance | 0.6620 | 0.1687 |
Real Estate-Household Goods | 0.6413 | 0.1491 |
Real Estate-Banking | 0.6090 | 0.1330 |
