A | Laplace distribution | 0.065 | 0.989 | 3.677 × 103 |
B | Laplace distribution | 0.043 | 0.995 | 4.223 × 103 |
C | Laplace distribution | 0.038 | 0.996 | 4.019 × 103 |
D | Partial t distribution | 0.039 | 0.997 | 3.567 × 103 |
A | 1 | — | 0.431 | 0.112 | |
2 | — | 0.210 | 0.153 | ||
B | 1 | — | 0.311 | 0.241 | |
2 | — | 0.132 | 0.112 | ||
C | 1 | 0.257 | 0.210 | — | 0.413 |
2 | 0.162 | 0.132 | — | 0.215 | |
D | 1 | 0.206 | 0.232 | 0.241 | — |
2 | 0.103 | 0.134 | 0.213 | — |
A | Normal | 0.002 | 7.226 × e−6 | 0.052 | 0.960 | 5.311 | −5.442 |
T | 0.002 | 8.039 × e−6 | 0.043 | 0.970 | −5.559 | ||
B | Normal | 0.002 | 1.322 × e−6 | 0.062 | 0.950 | 5.825 | −5.297 |
T | 0.002 | 1.264 × e−6 | 0.037 | 0.952 | −5.384 | ||
C | Normal | 0.001 | 2.339 × e−6 | 0.038 | 0.970 | 5.797 | −5.338 |
T | 0.001 | 2.407 × e−6 | 0.051 | 0.963 | −5.458 | ||
D | Normal | 0.002 | 3.389 × e−6 | 0.036 | 0.953 | 5.265 | −5.165 |
T | 0.002 | 3.667 × e−6 | 0.055 | 0.954 | −5.364 |
Gumbel Copula | 1.711 | — | 1720.59 | −3432.65 | −3433.29 |
Clayton Copula | 1.121 | — | 1593.28 | −3087.24 | −3177.52 |
Frank Copula | 4.552 | — | 1633.74 | −3006.88 | −3014.87 |
Mixed Copula | 1.538 | 0.439 | 1957.33 | −3926.01 | −3800.65 |
HMM-mixed Copula | — | — | 2059.63 | −4088.39 | −4010.98 |
A | 0.026 | 1.578 | −1.826 | 1.552 | 0.031 | 9.668 | 3,511.921 | 0.000 |
B | 0.041 | 2.065 | −2.052 | 1.938 | 0.082 | 6.268 | 897.682 | 0.000 |
C | 0.009 | 2.559 | −2.597 | 2.356 | 0.043 | 6.842 | 1,123.972 | 0.000 |
D | 0.007 | 2.113 | −2.273 | 2.054 | −0.741 | 6.557 | 1,250.747 | 0.000 |