Advances in Risk Management

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Table 17.6 Continued

Panel (B): applied on the residuals of the model estimates

υ12,t=ε1,tε2,t−σ12,tυ1,t=ε^2 1,t−σ^2 1,tυ2,t=ε^2 2,t−σ^2 2,tυbetat=ε1,tε2,t/ε^2 1,t

−σ12,t/σ^2 1,t

I(ε1,t− 1 <0) 0.10825 0.0791841 0.02020 0.02748
I(ε2,t− 1 <0) 1.28730 0.0212508 0.00353 0.21586
I(ε1,t− 1 <0;ε2,t− 1 <0) 0.50478 0.445375 0.04633 0.14528
I(ε1,t− 1 <0;ε2,t− 1 >0) 0.50645 0.0306266 0.02375 0.59168
I(ε1,t− 1 >0;ε2,t− 1 <0) 0.81626 0.101018 0.39831 0.01141
I(ε1,t− 1 >0;ε2,t− 1 >0) 0.00228 0.923719 0.01846 0.00738
ε^2 1,t− 1 I(ε1,t− 1 <0) 1.79865 0.326715 0.04021 1.30713
ε^2 1,t− 1 I(ε2,t− 1 <0) 1.22818 0.00153 0.44407 1.47350
ε^2 2,t− 1 I(ε1,t− 1 <0) 0.78609 0.0259686 0.00129 1.56487
ε^2 2,t− 1 I(ε2,t− 1 <0) 1.79558 0.048851 0.04021 1.77788

Robust Conditional Moment Test in the German Market

Panel (C): applied on original returns

υ12,t=r1,tr2,t−σ 12 υ1,t=r^2 1,t−σ^21 υ2,t=r^2 2,t−σ^22 υbetat=r1,tr2,t/r^2 1,t

−σ 12 /σ^21

I(r1,t− 1 <0) 51.85540∗∗∗ 0.38040 1.46245 308.99998∗∗∗
I(r2,t− 1 <0) 48.82691∗∗∗ 0.01518 1.95438 331.99997∗∗∗
I(r1,t− 1 <0;r2,t− 1 <0) 20.48819∗∗∗ 0.58614 3.76918∗ 217.99998∗∗∗
I(r1,t− 1 <0;r2,t− 1 >0) 67.68802∗∗∗ 0.00253 7.80934∗∗∗ 91.00000∗∗∗
I(r1,t− 1 >0;r2,t− 1 <0) 37.72143∗∗∗ 1.79143 1.06502 113.99999∗∗∗
I(r1,t− 1 >0;r2,t− 1 >0) 179.36793∗∗∗ 0.01328 2.41438 288.00000∗∗∗
r^2 1,t− 1 I(r1,t− 1 <0) 0.10512 2.18227 3.09202∗ 33.20338∗∗∗
r^2 1,t− 1 I(r2,t− 1 <0) 0.03183 1.96722 3.73741∗ 42.87739∗∗∗
r^2 2,t− 1 I(r1,t− 1 <0) 1.08555 1.58957 4.87424∗∗ 59.51383∗∗∗
r^2 2,t− 1 I(r2,t− 1 <0) 0.29315 2.26819 5.76897∗∗ 58.65094∗∗∗

Panel (D): applied on the residuals of the model estimates

υ12,t=ε1,tε2,t−σ12,tυ1,t=ε^2 1,t−σ^2 1,tυ2,t=ε^2 2,t−σ^2 2,tυbetat=ε1,tε2,t/ε^2 1,t

−σ12,t/σ^2 1,t

I(ε1,t− 1 <0) 0.57405 2.22941 0.61996 1.45365
I(ε2,t− 1 <0) 0.42169 1.64955 0.61688 1.26071
I(ε1,t− 1 <0;ε2,t− 1 <0) 2.17062 0.88730 2.06230 0.88062
I(ε1,t− 1 <0;ε2,t− 1 >0) 1.57036 1.90948 1.79316 0.03676
I(ε1,t− 1 >0;ε2,t− 1 <0) 2.48587 0.44863 1.66942 1.03544
I(ε1,t− 1 >0;ε2,t− 1 >0) 0.04044 1.21521 0.00106 0.71961
ε^2 1,t− 1 I(ε1,t− 1 <0) 0.88337 0.65406 0.30436 1.09062

Continued