Advances in Risk Management

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Table 17.3 Conditional CAPM ADC-in-mean model estimates and restric-
tions tests

Estimates of the conditional CAPM ADC-in-mean model in the French market

Panel (A): model estimates

Y=2.27

(0.00)

C=





0.0039

(0.00)

0.0025

(0.00)

0.0018

(0.00)



 B=





0.9238

(0.00)

0.0344

(0.00)

−0.1168

(0.00)

0.7576

(0.00)





A=





−0.2231

(0.00)

−0.0577

(0.00)

0.3573

(0.00)

0.4894

(0.00)



 G=





0.2441

(0.00)

0.0899

(0.00)

0.3302

(0.00)

0.5943

(0.00)





φ 12 =1.0278

ρ 12 =−0.0251

Panel (B): testing restrictions for nested models

BEKK 1.95× 105 (0.00)
VECH 3.80× 106 (0.00)

CCORR 4.26× 106 (0.00)

Estimates of the conditional CAPM ADC-in-mean model in the German market

Panel (C): model estimates

Y=5.84

(0.00)

C=







0.0052

(0.00)

0.0019

(0.00)

−0.0019

(0.00)





 B=







0.8895

(0.00)

−0.0036

(0.01)

−0.1869

(0.00)

0.7948

(0.00)







A=







0.2895

(0.00)

−0.0526

(0.00)

0.2678

(0.00)

0.4590

(0.00)





 G=







0.2466

(0.00)

0.0244

(0.02)

0.1361

(0.00)

0.0052

(0.88)







φ 12 =1.0067

ρ 12 =−0.0732

Panel (D): testing restrictions for nested models

BEKK 2.96× 105 (0.00)

VECH 4.62× 106 (0.00)

CCORR 4.81× 106 (0.00)

Continued