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An international integration history of the Zagreb Stock Exchange
Luka Šikić* 
Article | Year: 2017 | Pages: 227 - 257 | Volume: 41 | Issue: 2 Received: December 21, 2016 | Accepted: March 14, 2017 | Published online: June 15, 2017
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
|
|
ZSE
|
S&P500
|
FTSE100
|
STOXX600
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Mean
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
|
Median
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
|
Max.
|
0.175
|
0.109
|
0.103
|
0.094
|
0.120
|
0.107
|
0.136
|
0.123
|
0.137
|
|
Min.
|
-0.194
|
-0.094
|
-0.083
|
-0.081
|
-0.133
|
-0.127
|
-0.214
|
-0.161
|
-0.207
|
|
Std. dev.
|
0.015
|
0.012
|
0.010
|
0.013
|
0.014
|
0.015
|
0.017
|
0.014
|
0.017
|
|
Skewness
|
-0.054
|
-0.194
|
-0.255
|
-0.285
|
-0.546
|
-0.241
|
-0.778
|
-0.476
|
-0.506
|
|
Kurtosis
|
24.923
|
10.606
|
9.869
|
8.021
|
11.095
|
7.622
|
16.693
|
14.274
|
11.836
|
|
Jarque- Berra
(p-value)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
No. obs.
|
4,650
|
4,650
|
4,650
|
4,632
|
4,632
|
4,632
|
4,632
|
4,648
|
4,632
|
|
ADF
|
-18.222
|
-16.60064
|
-20.567
|
-20.954
|
-22.719
|
-20.399
|
-21.693
|
22.471
|
-23.877
|
|
Probability
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
ARCH(10)
|
135.490
|
167.816
|
178.484
|
100.647
|
130.147
|
77.540
|
83.972
|
63.246
|
55.157
|
|
Probability
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Year
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
1997
|
0.340
|
0.616
|
0.432
|
0.716
|
0.749
|
0.689
|
0.811
|
0.823
|
|
1998
|
0.211
|
0.378
|
0.350
|
0.494
|
0.459
|
0.490
|
0.577
|
0.494
|
|
1999
|
0.051
|
-0.001
|
0.107
|
0.222
|
0.140
|
0.238
|
0.313
|
0.307
|
|
2000
|
0.041
|
0.014
|
0.119
|
0.135
|
0.161
|
0.059
|
0.207
|
0.261
|
|
2001
|
0.059
|
0.047
|
0.145
|
0.278
|
0.117
|
0.222
|
0.202
|
0.181
|
|
2002
|
-0.053
|
-0.079
|
-0.011
|
0.068
|
0.093
|
0.036
|
0.095
|
0.094
|
|
2003
|
0.184
|
0.026
|
0.212
|
0.213
|
0.086
|
0.202
|
0.133
|
0.139
|
|
2004
|
0.045
|
-0.016
|
0.110
|
0.172
|
0.163
|
0.158
|
0.066
|
0.075
|
|
2005
|
0.021
|
0.008
|
0.042
|
0.074
|
0.101
|
0.030
|
0.139
|
0.109
|
|
2006
|
-0.029
|
0.015
|
0.037
|
0.102
|
0.131
|
0.092
|
0.216
|
0.100
|
|
2007
|
0.095
|
0.058
|
0.226
|
0.285
|
0.306
|
0.285
|
0.253
|
0.277
|
|
2008
|
0.474
|
-0.129
|
0.668
|
0.673
|
0.658
|
0.672
|
0.545
|
0.563
|
|
2009
|
0.360
|
0.009
|
0.547
|
0.605
|
0.574
|
0.557
|
0.375
|
0.505
|
|
2010
|
0.230
|
-0.045
|
0.339
|
0.353
|
0.363
|
0.313
|
0.312
|
0.355
|
|
2011
|
0.302
|
-0.095
|
0.385
|
0.463
|
0.498
|
0.448
|
0.364
|
0.417
|
|
2012
|
0.272
|
-0.046
|
0.353
|
0.346
|
0.392
|
0.366
|
0.240
|
0.281
|
|
2013
|
0.059
|
0.031
|
0.089
|
0.130
|
0.077
|
0.132
|
0.051
|
0.044
|
|
2014
|
0.193
|
0.070
|
0.217
|
0.225
|
0.136
|
0.184
|
0.086
|
0.184
|
|
2015
|
0.220
|
-0.073
|
0.237
|
0.251
|
0.232
|
0.230
|
0.174
|
0.226
|
|
2016
|
0.290
|
-0.016
|
0.361
|
0.398
|
0.350
|
0.386
|
0.345
|
0.211
|
|
Average
|
0.168
|
0.039
|
0.248
|
0.310
|
0.289
|
0.289
|
0.275
|
0.282
|
|
Index
|
Model
|
ω
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.012
(0.000)
|
0.096
(0.000)
|
0.902
(0.000)
|
–
|
-7,095.87
|
3.053
|
|
S&P500
|
sGARCH
|
0.049
0.000)
|
0.089
(0.000)
|
0.897
(0.000)
|
–
|
-6,730.90
|
2.896
|
|
FTSE100
|
sGARCH
|
0.014
0.000)
|
0.098
(0.000)
|
0.891
(0.000)
|
–
|
-6,220.28
|
2.677
|
|
STOXX600
|
sGARCH
|
0.024
(0.000)
|
0.009
(0.173)
|
0.899
(0.000)
|
–
|
-6,912.23
|
2.986
|
|
ATX
|
eGARCH
|
0.013
0.000)
|
0.090
(0.000)
|
0.976
(0.000)
|
0.0448
(0.004)
|
-7,427.90
|
3.209
|
|
DAX
|
gjrGARCH
|
0.035
(0.000)
|
0.018
(0.003)
|
0.898
(0.000)
|
0.027
(0.110)
|
-7,911.81
|
3.418
|
|
BUX
|
eGARCH
|
0.039
(0.000)
|
0.017
(0.003)
|
0.878
(0.000)
|
0.029
(0.000)
|
-8,111.81
|
3.497
|
|
PX
|
gjrGARCH
|
0.041
(0.000)
|
0.017
(0.003)
|
0.925
(0.000)
|
0.036
(0.000)
|
-7,727.90
|
3.312
|
|
WIG20
|
gjrGARCH
|
0.044
(0.000)
|
0.016
(0.005)
|
0.944
(0.000)
|
0.040
(0.000)
|
-8,561.01
|
3.698
|
|
Index pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX –
S&P500
|
DCC
|
0.007
(0.001)
|
0.989
(0.000)
|
–
|
-13,759.50
|
5.922
|
|
CROBEX –
FTSE100
|
DCC
|
0.016
(0.003)
|
0.978
(0.000)
|
–
|
-13,157.02
|
5.663
|
|
CROBEX –
STOXX600
|
ADCC
|
0.019
(0.001)
|
0.968
(0.000)
|
0.005
(0.338)
|
-13,846.02
|
5.973
|
|
CROBEX –
ATX
|
ADCC
|
0.022
(0.000)
|
0.960
(0.000)
|
0.007
(0.500)
|
-14,364.07
|
6.196
|
|
CROBEX –
DAX
|
ADCC
|
0.019
(0.001)
|
0.962
(0.000)
|
0.008
(0.375)
|
-14,774.70
|
6.374
|
|
CROBEX – BUX
|
DCC
|
0.018
(0.001)
|
0.952
(0.000)
|
–
|
-14,763.90
|
6.467
|
|
CROBEX – PX
|
DCC
|
0.017
(0.001)
|
0.976
(0.000
|
–
|
14,257.03
|
6.033
|
|
CROBEX – WIG20
|
DCC
|
0.0055
(0.068)
|
0.986
(0.000)
|
–
|
-15,452.06
|
6.666
|
|
Year
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
1997
|
0.169
|
0.239
|
0.429
|
0.465
|
0.437
|
0.480
|
0.194
|
0.542
|
|
1998
|
0.226
|
0.329
|
0.405
|
0.407
|
0.414
|
0.483
|
0.286
|
0.402
|
|
1999
|
0.138
|
0.189
|
0.270
|
0.248
|
0.259
|
0.343
|
0.287
|
0.296
|
|
2000
|
0.053
|
0.125
|
0.201
|
0.213
|
0.141
|
0.238
|
0.212
|
0.307
|
|
2001
|
0.085
|
0.154
|
0.263
|
0.177
|
0.237
|
0.231
|
0.183
|
0.268
|
|
2002
|
0.028
|
0.058
|
0.154
|
0.142
|
0.131
|
0.195
|
0.113
|
0.245
|
|
2003
|
0.160
|
0.222
|
0.254
|
0.158
|
0.242
|
0.215
|
0.188
|
0.240
|
|
2004
|
0.136
|
0.171
|
0.216
|
0.213
|
0.198
|
0.189
|
0.186
|
0.215
|
|
2005
|
0.070
|
0.091
|
0.148
|
0.166
|
0.133
|
0.198
|
0.195
|
0.233
|
|
2006
|
-0.010
|
0.049
|
0.151
|
0.168
|
0.147
|
0.253
|
0.215
|
0.225
|
|
2007
|
0.074
|
0.180
|
0.244
|
0.249
|
0.249
|
0.233
|
0.212
|
0.297
|
|
2008
|
0.187
|
0.409
|
0.475
|
0.446
|
0.462
|
0.339
|
0.394
|
0.415
|
|
2009
|
0.307
|
0.474
|
0.503
|
0.469
|
0.457
|
0.343
|
0.420
|
0.385
|
|
2010
|
0.253
|
0.351
|
0.368
|
0.363
|
0.334
|
0.306
|
0.366
|
0.350
|
|
2011
|
0.210
|
0.258
|
0.303
|
0.294
|
0.288
|
0.250
|
0.262
|
0.299
|
|
2012
|
0.273
|
0.356
|
0.344
|
0.348
|
0.342
|
0.277
|
0.306
|
0.312
|
|
2013
|
0.114
|
0.140
|
0.215
|
0.176
|
0.205
|
0.199
|
0.184
|
0.231
|
|
2014
|
0.154
|
0.205
|
0.238
|
0.183
|
0.225
|
0.199
|
0.164
|
0.277
|
|
2015
|
0.190
|
0.205
|
0.225
|
0.222
|
0.221
|
0.238
|
0.230
|
0.297
|
|
2016
|
0.222
|
0.299
|
0.338
|
0.306
|
0.332
|
0.292
|
0.307
|
0.283
|
|
Average
|
0.152
|
0.225
|
0.287
|
0.271
|
0.273
|
0.275
|
0.245
|
0.306
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.241
|
0.329
|
0.454
|
0. 747
|
0.462
|
0.493
|
0.213
|
0.542
|
|
Post-crisis
|
0.113
|
0.198
|
0.297
|
0.257
|
0.302
|
0.371
|
0.309
|
0.313
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.057
|
0.083
|
0.141
|
0.112
|
0.103
|
0.319
|
0.269
|
0.253
|
|
Crisis
|
0.030
|
0.078
|
0.163
|
0.107
|
0.118
|
0.222
|
0.168
|
0.191
|
|
Post-crisis
|
0.127
|
0.165
|
0.182
|
0.122
|
0.175
|
0.214
|
0.188
|
0.104
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.002
|
0.039
|
0.121
|
0.136
|
0.100
|
0.219
|
0.197
|
0.112
|
|
Crisis
|
0.263
|
0.454
|
0.547
|
0.526
|
0.531
|
0.324
|
0.361
|
0.487
|
|
Post-crisis
|
0.279
|
0.376
|
0.403
|
0.413
|
0.381
|
0.296
|
0.346
|
0.370
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Announcement
|
0.370
|
0.305
|
0.333
|
0.364
|
0.330
|
0.262
|
0.286
|
0.275
|
|
Post-accession
|
0.169
|
0.184
|
0.202
|
0.156
|
0.219
|
0.213
|
0.193
|
0.208
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
1.587
(0.002)
|
0.384
(0.005)
|
|
0.558
(0.000)
|
-501.785
|
5.007
|
|
S&P500
|
sGARCH
|
0.067
(0.206)
|
0.145
(0.018)
|
|
0.830
(0.000)
|
-319.208
|
3.201
|
|
FTSE100
|
sGARCH
|
0.042
(0.299)
|
0.132
(0.021)
|
|
0.853
(0.000)
|
-306.173
|
3.071
|
|
STOXX600
|
eGARCH
|
0.058
(0.099)
|
-0.279
(0.000)
|
0.132
(0.201)
|
0.874
(0.000)
|
-329.931
|
3.316
|
|
ATX
|
sGARCH
|
0.354
(0.028)
|
0.438
(0.001)
|
|
0.560
(0.000)
|
-380.268
|
3.804
|
|
DAX
|
sGARCH
|
0.226
(0.145)
|
0.308
(0.000)
|
|
0.690
(0.000)
|
-398.881
|
3.989
|
|
BUX
|
sGARCH
|
0.212
(0.036)
|
0.288
(0.000)
|
|
0.570
(0.000)
|
-377.662
|
4.158
|
|
PX
|
sGARCH
|
0.07188
(0.315)
|
0.160
(0.025)
|
|
0.668
(0.000)
|
-335.377
|
3.321
|
|
WIG20
|
eGARCH
|
0.446
(0.000)
|
-0.368
(0.000)
|
0.546
(0.000)
|
0.822
(0.000)
|
-506.267
|
5.062
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.979
(0.000)
|
|
-814.818
|
8.176
|
|
CROBEX
– FTSE100
|
DCC
|
0.004
(0.764)
|
0.983
(0.000)
|
|
-796.573
|
7.995
|
|
CROBEX
– STOXX600
|
aDCC
|
0.033
(0.589)
|
0.497
(0.061)
|
0.140
(0.405)
|
-814.322
|
8.181
|
|
CROBEX
– ATX
|
DCC
|
0.106
(0.046)
|
0.639
(0.000)
|
|
-850.348
|
8.528
|
|
CROBEX
– DAX
|
DCC
|
0.077
(0.089)
|
0.708
(0.000)
|
|
-873.038
|
8.752
|
|
CROBEX – BUX
|
DCC
|
0.075
(0.054)
|
0.608
(0.000)
|
|
-863.490
|
8.433
|
|
CROBEX – PX
|
DCC
|
0.000
(0.887)
|
0.946
(0.000)
|
|
-804.113
|
8.256
|
|
CROBEX – WIG20
|
DCC
|
0.1062
(0.014)
|
0.598
(0.000)
|
|
-976.138
|
9.773
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.048
(0.000)
|
0.123
(0.000)
|
|
0.848
(0.000)
|
|
-1,023.41
|
2.991
|
|
S&P500
|
sGARCH
|
0.015
(0.022)
|
-0.175
(0.000)
|
0.131
(0.000)
|
0.956
(0.000)
|
|
-1,032.99
|
3.018
|
|
FTSE100
|
sGARCH
|
0.034
(0.020)
|
0.0755
(0.000)
|
|
0.898
(0.000)
|
|
-1,032.99
|
3.018
|
|
STOXX600
|
eGARCH
|
0.046
(0.023)
|
0.114
(0.000)
|
0.174
(0.000)
|
0.857
(0.000)
|
|
-1,081.22
|
3.153
|
|
ATX
|
sGARCH
|
0.026
(0.000)
|
-0.114
(0.000)
|
|
0.972
(0.000)
|
|
-1,286.79
|
3.760
|
|
DAX
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
BUX
|
sGARCH
|
0.054
(0.000)
|
0.162
(0.000)
|
|
0.912
(0.000)
|
|
-1,221.45
|
3.412
|
|
PX
|
sGARCH
|
0.042
(0.022)
|
0.096
(0.000)
|
|
0.872
(0.000)
|
|
-1,221.45
|
3.412
|
|
WIG20
|
eGARCH
|
0.041 (0.036)
|
0.097 (0.000)
|
|
0.884 (0.000)
|
|
-1,186.65
|
3.466
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.012
(0.381)
|
0.961
(0.000)
|
|
-1,249.83
|
8.160
|
|
CROBEX
– FTSE100
|
DCC
|
0.049
(0.015)
|
0.931
(0.000)
|
|
-1,188.46
|
7.763
|
|
CROBEX
– STOXX600
|
DCC
|
0.048
(0.057)
|
0.938
(0.000)
|
|
-1,237.20
|
8.079
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.358)
|
0.962
(0.000)
|
|
-1,232.79
|
8.050
|
|
CROBEX
– DAX
|
aDCC
|
0.041
(0.057)
|
0.928
(0.000)
|
0.019
(0.685)
|
-1,313.21
|
8.577
|
|
CROBEX
– BUX
|
DCC
|
0.000
(0.288)
|
0.954
(0.000)
|
|
-1,411.32
|
8.336
|
|
CROBEX
– PX
|
aDCC
|
0.043
(0.000)
|
0.956
(0.000)
|
0.022
(0.225)
|
-1,397.34
|
8.621
|
|
CROBEX
– WIG20
|
DCC
|
0.094
(0.126)
|
0.360
(0.433)
|
|
-1,372.82
|
8.956
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
1.269
(0.026)
|
0.221
(0.000)
|
|
0.518
(0.000)
|
|
-857.067
|
4.337
|
|
S&P500
|
eGARCH
|
0.049
(0.075)
|
-0.195
(0.000)
|
0.027
(0.472)
|
0.890
(0.000)
|
|
-647.875
|
3.289
|
|
FTSE100
|
sGARCH
|
0.039
(0.241)
|
0.023
(0.148)
|
|
0.935
(0.000)
|
|
-565.582
|
2.869
|
|
STOXX600
|
sGARCH
|
0.050
(0.138)
|
0.043
(0.025)
|
|
0.912
(0.000)
|
|
-598.827
|
3.036
|
|
ATX
|
gjrGARCH
|
0.026
(0.052)
|
0.048
(0.063)
|
0.057
(0.145)
|
0.895
(0.000)
|
|
-553.632
|
2.814
|
|
DAX
|
sGARCH
|
0.061
(0.116)
|
0.048
(0.007)
|
|
0.919
(0.000)
|
|
-695.427
|
3.523
|
|
BUX
|
sGARCH
|
0.002
(0.052)
|
0.028
(0.000)
|
|
0.955
(0.000)
|
|
-421.736
|
2.145
|
|
PX
|
gjrGARCH
|
0.048
(0.032)
|
0.045
(0.000)
|
-0.047
(0.054)
|
0.962
(0.000)
|
|
-793.558
|
3.892
|
|
WIG20
|
gjrGARCH
|
0.049
(0.048)
|
0.049
(0.001)
|
-0.032
(0.119)
|
0.949
(0.000)
|
|
-787.256
|
3.991
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.920
(0.000)
|
|
-1,513.53
|
7.680
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.223)
|
0.965
(0.000)
|
|
-895.32
|
4.565
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.203)
|
0.946
(0.000)
|
|
-1,207.31
|
6.137
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.778)
|
0.800
(0.000)
|
|
-1,410.83
|
7.173
|
|
CROBEX
– DAX
|
DCC
|
0.000
(0.999)
|
0.870
(0.000)
|
|
-1,549.85
|
7.873
|
|
CROBEX – BUX
|
DCC
|
0.577
(0.000)
|
0.375
(0.000)
|
|
-1,822.21
|
8.923
|
|
CROBEX – PX
|
DCC
|
0.466
(0.000)
|
0.394
(0.000)
|
|
-1,744.37
|
8.647
|
|
CROBEX – WIG20
|
DCC
|
0.451
(0.000)
|
0.477
(0.000)
|
|
-1,632.89
|
8.296
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.089
(0.002)
|
0.059
(0.000)
|
|
0.899
(0.000)
|
|
-1,236.83
|
3.560
|
|
S&P500
|
eGARCH
|
-0.002
(0.698)
|
-0.070
(0.031)
|
0.078
(0.013)
|
0.951
(0.000)
|
|
-950.66
|
2.742
|
|
FTSE100
|
sGARCH
|
0.078
(0.030)
|
0.100
(0.000)
|
|
0.854
(0.000)
|
|
-1,138.37
|
3.278
|
|
STOXX600
|
sGARCH
|
0.039
(0.034)
|
0.126
(0.000)
|
|
0.857
(0.000)
|
|
-1,178.63
|
3.393
|
|
ATX
|
eGARCH
|
-0.010
(0.000)
|
-0.075
(0.000)
|
0.0148 (0.496)
|
0.973
(0.000)
|
|
-858.56
|
2.478
|
|
DAX
|
eGARCH
|
0.050
(0.074)
|
0.114
(0.000)
|
|
0.876
(0.000)
|
|
-1380.57
|
3.972
|
|
BUX
|
sGARCH
|
0.193
(0.022)
|
0.000
(0.000)
|
|
0.955
(0.000)
|
|
-1,470.98
|
4.028
|
|
PX
|
sGARCH
|
0.166
(0.054)
|
0.067
(0.000)
|
|
0.877
(0.000)
|
|
-1,270.98
|
3.867
|
|
WIG20
|
sGARCH
|
0.151
(0.062)
|
0.0548
(0.003)
|
|
0.896
(0.000)
|
|
-1,380.20
|
3.971
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.920
(0.000)
|
|
-1,513.53
|
7.680
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.223)
|
0.965
(0.000)
|
|
-895.32
|
4.565
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.203)
|
0.946
(0.000)
|
|
-1,207.31
|
6.137
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.778)
|
0.800
(0.000)
|
|
-1,410.83
|
7.173
|
|
CROBEX
– DAX
|
DCC
|
0.000
(0.999)
|
0.870
(0.000)
|
|
-1,549.85
|
7.873
|
|
CROBEX
– BUX
|
DCC
|
0.000
(0.568)
|
0.956
(0.000)
|
|
-1,756.92
|
8.994
|
|
CROBEX
– PX
|
DCC
|
0.572
(0.879)
|
0.534
(0.000)
|
|
-1,589.74
|
8.177
|
|
CROBEX
– WIG20
|
DCC
|
0.451
(0.000)
|
0.477
(0.000)
|
|
-1,632.89
|
8.296
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.016
(0.135)
|
0.034
(0.013)
|
|
0.952
(0.000)
|
|
-730.117
|
2.978
|
|
S&P500
|
eGARCH
|
0.008
(0.143)
|
0.029
(0.006)
|
|
0.957
(0.000)
|
|
-622.322
|
2.540
|
|
FTSE100
|
sGARCH
|
0.006
(0.089)
|
0.005
(0.668)
|
0.047
(0.017)
|
0.956
(0.000)
|
|
-564.725
|
2.311
|
|
STOXX600
|
sGARCH
|
0.015
(0.021)
|
0.006
(0.734)
|
0.128
(0.002)
|
0.910
(0.000)
|
|
-652.934
|
2.669
|
|
ATX
|
sGARCH
|
0.046
(0.308)
|
0.073
(0.044)
|
|
0.861
(0.000)
|
|
-602.566
|
2.460
|
|
DAX
|
sGARCH
|
0.018
(0.135)
|
0.074
(0.000)
|
|
0.913
(0.000)
|
|
-836.468
|
3.409
|
|
BUX
|
sGARCH
|
0.067
(0.567)
|
0.096
(0.067)
|
|
0.785
(0.000)
|
|
-892.217
|
2.966
|
|
PX
|
sGARCH
|
0.019
(0.478)
|
0.064
(0.000)
|
|
0.978
(0.000)
|
|
-847.155
|
3.522
|
|
WIG20
|
sGARCH
|
0.001
(0.564)
|
0.0478
(0.000)
|
0.035
(0.000)
|
0.996
(0.000)
|
|
-801.450
|
3.271
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.019
(0.365)
|
0.917
(0.000)
|
|
-1,347.70
|
5.512
|
|
CROBEX
– FTSE100
|
DCC
|
0.007
(0.426)
|
0.980
(0.000)
|
|
-1,271.10
|
5.209
|
|
CROBEX
– STOXX600
|
DCC
|
0.071
(0.027)
|
0.706
(0.000)
|
|
-1,379.04
|
5.639
|
|
CROBEX
– ATX
|
aDCC
|
0.014
(0.395)
|
0.936
(0.000)
|
0.014
(0.519)
|
-1,327.43
|
5.433
|
|
CROBEX
– DAX
|
DCC
|
0.019
(0.073)
|
0.957
(0.000)
|
|
-1,558.00
|
6.365
|
|
CROBEX – BUX
|
DCC
|
0.027
(0.008)
|
0.997
(0.000)
|
|
-1,733.22
|
6.685
|
|
CROBEX – PX
|
DCC
|
0.020
(0.055)
|
0.978
(0.000)
|
|
-1,655.10
|
6.467
|
|
CROBEX – WIG20
|
DCC
|
0.000
(0.899)
|
0.931
(0.008)
|
|
-1,532.08
|
6.260
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.272
(0.000)
|
0.274
(0.000)
|
|
0.443
(0.000)
|
|
-848.33
|
2.655
|
|
S&P500
|
eGARCH
|
0.025
(0.022)
|
0.053
(0.000)
|
|
0.894
(0.000)
|
|
-657.45
|
2.060
|
|
FTSE100
|
sGARCH
|
0.015
(0.040)
|
0.063
(0.000)
|
|
0.898
(0.000)
|
|
-579.05
|
1.816
|
|
STOXX600
|
gjrGARCH
|
0.038
(0.000)
|
-0.221
(0.000)
|
0.002
(0.937)
|
0.942
(0.000)
|
|
-662.30
|
2.078
|
|
ATX
|
eGARCH
|
0.006
(0.512)
|
-0.142
(0.000)
|
0.166
(0.000)
|
0.926
(0.000)
|
|
-911.51
|
2.855
|
|
DAX
|
sGARCH
|
0.060
(0.024)
|
0.101
(0.001)
|
|
0.827
(0.000)
|
|
-827.05
|
2.589
|
|
BUX
|
sGARCH
|
0.078
(0.003)
|
0.458
(0.000)
|
|
0.948
(0.000)
|
|
-1,452.66
|
3.532
|
|
PX
|
sGARCH
|
0.071
(0.784)
|
0.526
(0.418)
|
|
0.921
(0.000)
|
|
-1,397.77
|
3.459
|
|
WIG20
|
eGARCH
|
0.009
(0.015)
|
0.025
(0.241)
|
0.116
(0.050)
|
0.989
(0.000)
|
|
-1,091.26
|
3.415
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.0176
(0.094)
|
0.966
(0.000)
|
|
-1,503.86
|
4.719
|
|
CROBEX
– FTSE100
|
DCC
|
0.018
(0.151)
|
0.960
(0.000)
|
|
-1,409.02
|
4.430
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.298)
|
0.957
(0.000)
|
|
-1,528.45
|
4.795
|
|
CROBEX
– ATX
|
DCC
|
0.011
(0.359)
|
0.961
(0.000)
|
|
-1,757.78
|
5.510
|
|
CROBEX
– DAX
|
DCC
|
0.003
(0.800)
|
0.964
(0.000)
|
|
-1,652.63
|
5.188
|
|
CROBEX
– BUX
|
DCC
|
0.019
(0.667)
|
0.988
(0.000)
|
|
2,578.33
|
6.366
|
|
CROBEX
– PX
|
DCC
|
0.023
(0.541)
|
0.974
(0.089)
|
|
-2,341.22
|
6.225
|
|
CROBEX
– WIG20
|
DCC
|
0.017
(0.114)
|
0.955
(0.000)
|
|
-1,927.81
|
6.046
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.188
(0.018)
|
0.222
(0.000)
|
|
0.759
(0.000)
|
|
-838.207
|
4.128
|
|
S&P500
|
eGARCH
|
0.033
(0.000)
|
-0.171
(0.000)
|
0.123
(0.000)
|
0.976
(0.000)
|
|
-831.024
|
4.098
|
|
FTSE100
|
sGARCH
|
0.030
(0.121)
|
0.146
(0.000)
|
|
0.852
(0.000)
|
|
-730.960
|
3.602
|
|
STOXX600
|
eGARCH
|
0.027
(0.007)
|
-0.192
(0.000)
|
0.075
(0.059)
|
0.975
(0.000)
|
|
-798.428
|
3.938
|
|
ATX
|
sGARCH
|
0.144
(0.069)
|
0.149
(0.000)
|
|
0.835
(0.000)
|
|
-911.964
|
4.490
|
|
DAX
|
sGARCH
|
0.072
(0.043)
|
0.153
(0.000)
|
|
0.845
(0.000)
|
|
-814.222
|
4.010
|
|
BUX
|
sGARCH
|
0.187
(0.335)
|
0.189
(0.000)
|
|
0.948
(0.000)
|
|
-817.657
|
4.230
|
|
PX
|
sGARCH
|
0.075
(0.087)
|
0.112
(0.000)
|
|
0.874
(0.000)
|
|
-834.447
|
4.230
|
|
WIG20
|
sGARCH
|
0.085
(0.153)
|
0.0911
(0.001)
|
|
0.896
(0.000)
|
|
-882.125
|
4.343
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.026
(0.109)
|
0.928
(0.000)
|
|
-1,659.48
|
8.188
|
|
CROBEX
– FTSE100
|
DCC
|
0.061
(0.003)
|
0.902
(0.000)
|
|
-1,511.40
|
7.462
|
|
CROBEX
– STOXX600
|
DCC
|
0.035
(0.141)
|
0.915
(0.000)
|
|
-1,576.28
|
7.780
|
|
CROBEX
– ATX
|
DCC
|
0.050
(0.095)
|
0.804
(0.000)
|
|
-1,679.81
|
8.288
|
|
CROBEX
– DAX
|
DCC
|
0.074
(0.015)
|
0.819
(0.000)
|
|
-1,575.50
|
7.777
|
|
CROBEX
– BUX
|
DCC
|
0.043
(0.062)
|
0.865
(0.000)
|
|
-1,593.23
|
7.922
|
|
CROBEX
– PX
|
DCC
|
0.049
(0.326)
|
0.905
(0.000)
|
|
-1,578.13
|
8.102
|
|
CROBEX
– WIG20
|
DCC
|
0.002
(0.749)
|
0.979
(0.000)
|
|
-1,664.30
|
8.212
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.048
(0.000)
|
0.123
(0.000)
|
|
0.848
(0.000)
|
|
-1,023.41
|
2.991
|
|
S&P500
|
eGARCH
|
0.015
(0.022)
|
-0.175
(0.000)
|
0.131
(0.000)
|
0.956
(0.000)
|
|
-1,054.26
|
3.083
|
|
FTSE100
|
sGARCH
|
0.034
(0.020)
|
0.075
(0.000)
|
|
0.898
(0.000)
|
|
-1,032.99
|
3.018
|
|
STOXX600
|
sGARCH
|
0.046
(0.023)
|
0.114
(0.000)
|
|
0.857
(0.000)
|
|
-1,081.22
|
3.159
|
|
ATX
|
eGARCH
|
0.026
(0.000)
|
-0.114
(0.000)
|
0.174
(0.000)
|
0.972
(0.000)
|
|
-1,286.79
|
3.760
|
|
DAX
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
BUX
|
sGARCH
|
0.054
(0.042)
|
0.086
(0.000)
|
|
0.962
(0.000)
|
|
-1,011.23
|
2.885
|
|
PX
|
sGARCH
|
0.039
(0.064)
|
0.092
(0.000)
|
|
0.894
(0.000)
|
|
-1,039.84
|
2.999
|
|
WIG20
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.999)
|
0.914
(0.000)
|
|
-2,066.35
|
6.047
|
|
CROBEX
– FTSE100
|
DCC
|
0.036
(0.158)
|
0.785
(0.000)
|
|
-2,003.32
|
5.864
|
|
CROBEX
– STOXX600
|
DCC
|
0.037
(0.140)
|
0.855
(0.000)
|
|
-2,042.42
|
5.977
|
|
CROBEX
– ATX
|
aDCC
|
0.051
(0.009)
|
0.908
(0.000)
|
0.014
(0.700)
|
-2,252.50
|
6.592
|
|
CROBEX
– DAX
|
aDCC
|
0.036
(0.524)
|
0.729
(0.000)
|
0.055
(0.644)
|
-2,158.95
|
6.320
|
|
CROBEX
– BUX
|
DCC
|
0.026
(0.189)
|
0.966
(0.000)
|
|
-2,047.59
|
6.00
|
|
CROBEX
– PX
|
DCC
|
0.037
(0.136)
|
0.845
(0.000)
|
|
-2,018.22
|
5.912
|
|
CROBEX
– WIG20
|
DCC
|
0.000
(0.999)
|
0.914
(0.000)
|
|
-2,185.96
|
6.401
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.017
(0.038)
|
0.058
(0.002)
|
|
0.909
(0.000)
|
|
-577.732
|
2.331
|
|
S&P500
|
sGARCH
|
0.045
(0.008)
|
0.137
(0.000)
|
|
0.824
(0.000)
|
|
-696.614
|
2.808
|
|
FTSE100
|
eGARCH
|
-0.001
(0.766)
|
-0.138
(0.000)
|
0.065
(0.078)
|
0.981
(0.000)
|
|
-662.568
|
2.675
|
|
STOXX600
|
eGARCH
|
0.002
(0.610)
|
-0.160
(0.000)
|
0.041
(0.000)
|
0.980
(0.000)
|
|
-726.550
|
2.932
|
|
ATX
|
sGARCH
|
0.019
(0.112)
|
0.047
(0.001)
|
|
0.943
(0.000)
|
|
-916.754
|
3.690
|
|
DAX
|
sGARCH
|
0.031
(0.081)
|
0.072
(0.001)
|
|
0.913
(0.000)
|
|
-867.097
|
3.491
|
|
BUX
|
sGARCH
|
0.006
(0.459)
|
0.084
(0.000)
|
|
0.921
(0.000)
|
|
-798.514
|
3.124
|
|
PX
|
sGARCH
|
0.031
(0.985)
|
0.051
(0.000)
|
|
0.962
(0.000)
|
|
-801.044
|
3.266
|
|
WIG20
|
sGARCH
|
0.018
(0.096)
|
0.066
(0.000)
|
|
0.924
(0.000)
|
|
-807.977
|
3.254
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.064
(0.244)
|
0.758
(0.003)
|
|
-2,185.96
|
6.401
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.068)
|
0.982
(0.000)
|
|
-1,233.24
|
4.986
|
|
CROBEX
– STOXX600
|
DCC
|
0.010
(0.122)
|
0.985
(0.000)
|
|
-1,298.36
|
5.248
|
|
CROBEX
– ATX
|
DCC
|
0.017
(0.090)
|
0.978
(0.000)
|
|
-1,456.72
|
5.882
|
|
CROBEX
– DAX
|
DCC
|
0.011
(0.057)
|
0.984
(0.000)
|
|
-1,416.62
|
5.721
|
|
CROBEX – BUX
|
DCC
|
0.052
(0.325)
|
0.956
(0.000)
|
|
-1,385.76
|
5.244
|
|
CROBEX – PX
|
DCC
|
0.012
(0.074)
|
0.896
(0.000)
|
|
-1,399.21
|
5.635
|
|
CROBEX
– WIG20
|
aDCC
|
0.015
(0.055)
|
0.979
(0.000)
|
0.001
(0.921)
|
-1,365.01
|
5.519
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.013
(0.741)
|
0.037
(0.477)
|
|
0.907
(0.000)
|
|
-422.023
|
1.429
|
|
S&P500
|
sGARCH
|
0.058
(0.002)
|
0.199
(0.000)
|
|
0.727
(0.000)
|
|
-653.439
|
2.209
|
|
FTSE100
|
eGARCH
|
-0.030
(0.039)
|
-0.223
(0.000)
|
0.123
(0.007)
|
0.952
(0.000)
|
|
-619.138
|
2.094
|
|
STOXX600
|
sGARCH
|
0.028
(0.039)
|
0.123
(0.000)
|
|
0.857
(0.000)
|
|
-814.607
|
2.747
|
|
ATX
|
sGARCH
|
0.309
(0.029)
|
0.116
(0.004)
|
|
0.648
(0.000)
|
|
-917.427
|
3.092
|
|
DAX
|
sGARCH
|
0.031
(0.045)
|
0.102
(0.000)
|
|
0.883
(0.000)
|
|
-938.051
|
3.161
|
|
BUX
|
sGARCH
|
0.034
(0.084)
|
0.355
(0.000)
|
|
0.978
(0.000)
|
|
-924.025
|
3.332
|
|
PX
|
sGARCH
|
0.048
(0.123)
|
0.024
(0.120)
|
|
0.877
(0.000)
|
|
-889.051
|
3.665
|
|
WIG20
|
eGARCH
|
0.006
(0.235)
|
-0.078
(0.001)
|
0.089
(0.084)
|
0.973
(0.000)
|
|
-862.443
|
2. 613
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.997)
|
0.887
(0.000)
|
|
-1,067.06
|
3.624
|
|
CROBEX
– FTSE100
|
DCC
|
0.045
(0.333)
|
0.481
(0.010)
|
|
-1,030.41
|
3.501
|
|
CROBEX
– STOXX600
|
DCC
|
0.037
(0.357)
|
0.797
(0.012)
|
|
-1,222.20
|
4.138
|
|
CROBEX
– ATX
|
DCC
|
0.027
(0.220)
|
0.836
(0.000)
|
|
-1,330.35
|
4.501
|
|
CROBEX
– DAX
|
DCC
|
0.027
(0.140)
|
0.906
(0.000)
|
|
-1,345.52
|
4.554
|
|
CROBEX – BUX
|
DCC
|
0.035
(0.566)
|
0.795
(0.000)
|
|
-1,328.64
|
4.347
|
|
CROBEX – PX
|
DCC
|
0.000
(0.412)
|
0.741
(0.000)
|
|
-1,202.54
|
4.255
|
|
CROBEX – WIG20
|
DCC
|
0.000
(0.998)
|
0.905
(0.000)
|
|
-1,280.62
|
4.334
|
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|
|
June, 2017
II/2017
|
