Table 11 Open in new tab Estimated...

$K^{P}$	$K_{\cdot, 1}^{P}$	$K_{\cdot, 2}^{P}$	$K_{\cdot, 3}^{P}$	$K_{\cdot, 4}^{P}$	$K_{\cdot, 5}^{P}$	$θ^{P}$		$Σ$
$K_{1, \cdot}^{P}$	0.6105	0	0	−0.6655	0	0.0845	$σ_{11}$	0.0051
	(0.0471)			(0.0537)		(0.0031)		(0.0001)
$K_{2, \cdot}^{P}$	0	0.4425	0	0	0.0377	−0.0151	$σ_{22}$	0.0114
		(0.0630)			(0.0135)	(0.0045)		(0.0002)
$K_{3, \cdot}^{P}$	0	0	0.9984	0	0	−0.0187	$σ_{33}$	0.0227
			(0.0577)			(0.0040)		(0.0009)
$K_{4, \cdot}^{P}$	−0.7243	−0.2207	0	0.8126	0	0.0596	$σ_{44}$	0.0040
	(0.0505)	(0.0326)		(0.0563)		(0.0032)		(0.0001)
$K_{5, \cdot}^{P}$	0	0	0	0	0.5511	0.0955	$σ_{55}$	0.2745
					(0.0568)	(0.0541)		(0.0151)

$K^{P}$	$K_{\cdot, 1}^{P}$	$K_{\cdot, 2}^{P}$	$K_{\cdot, 3}^{P}$	$K_{\cdot, 4}^{P}$	$K_{\cdot, 5}^{P}$	$θ^{P}$		$Σ$
$K_{1, \cdot}^{P}$	0.6105	0	0	−0.6655	0	0.0845	$σ_{11}$	0.0051
	(0.0471)			(0.0537)		(0.0031)		(0.0001)
$K_{2, \cdot}^{P}$	0	0.4425	0	0	0.0377	−0.0151	$σ_{22}$	0.0114
		(0.0630)			(0.0135)	(0.0045)		(0.0002)
$K_{3, \cdot}^{P}$	0	0	0.9984	0	0	−0.0187	$σ_{33}$	0.0227
			(0.0577)			(0.0040)		(0.0009)
$K_{4, \cdot}^{P}$	−0.7243	−0.2207	0	0.8126	0	0.0596	$σ_{44}$	0.0040
	(0.0505)	(0.0326)		(0.0563)		(0.0032)		(0.0001)
$K_{5, \cdot}^{P}$	0	0	0	0	0.5511	0.0955	$σ_{55}$	0.2745
					(0.0568)	(0.0541)		(0.0151)

Table 11

Estimated dynamic parameters of the preferred CLR-L model

$K^{P}$	$K_{\cdot, 1}^{P}$	$K_{\cdot, 2}^{P}$	$K_{\cdot, 3}^{P}$	$K_{\cdot, 4}^{P}$	$K_{\cdot, 5}^{P}$	$θ^{P}$		$Σ$
$K_{1, \cdot}^{P}$	0.6105	0	0	−0.6655	0	0.0845	$σ_{11}$	0.0051
	(0.0471)			(0.0537)		(0.0031)		(0.0001)
$K_{2, \cdot}^{P}$	0	0.4425	0	0	0.0377	−0.0151	$σ_{22}$	0.0114
		(0.0630)			(0.0135)	(0.0045)		(0.0002)
$K_{3, \cdot}^{P}$	0	0	0.9984	0	0	−0.0187	$σ_{33}$	0.0227
			(0.0577)			(0.0040)		(0.0009)
$K_{4, \cdot}^{P}$	−0.7243	−0.2207	0	0.8126	0	0.0596	$σ_{44}$	0.0040
	(0.0505)	(0.0326)		(0.0563)		(0.0032)		(0.0001)
$K_{5, \cdot}^{P}$	0	0	0	0	0.5511	0.0955	$σ_{55}$	0.2745
					(0.0568)	(0.0541)		(0.0151)

$K^{P}$	$K_{\cdot, 1}^{P}$	$K_{\cdot, 2}^{P}$	$K_{\cdot, 3}^{P}$	$K_{\cdot, 4}^{P}$	$K_{\cdot, 5}^{P}$	$θ^{P}$		$Σ$
$K_{1, \cdot}^{P}$	0.6105	0	0	−0.6655	0	0.0845	$σ_{11}$	0.0051
	(0.0471)			(0.0537)		(0.0031)		(0.0001)
$K_{2, \cdot}^{P}$	0	0.4425	0	0	0.0377	−0.0151	$σ_{22}$	0.0114
		(0.0630)			(0.0135)	(0.0045)		(0.0002)
$K_{3, \cdot}^{P}$	0	0	0.9984	0	0	−0.0187	$σ_{33}$	0.0227
			(0.0577)			(0.0040)		(0.0009)
$K_{4, \cdot}^{P}$	−0.7243	−0.2207	0	0.8126	0	0.0596	$σ_{44}$	0.0040
	(0.0505)	(0.0326)		(0.0563)		(0.0032)		(0.0001)
$K_{5, \cdot}^{P}$	0	0	0	0	0.5511	0.0955	$σ_{55}$	0.2745
					(0.0568)	(0.0541)		(0.0151)

Notes: The table shows the estimated parameters of the $K^{P}$ matrix, $θ^{P}$ vector, and diagonal $Σ$ matrix for the preferred CLR-L model according to the BIC. The estimated value of $λ$ is 0.4013 (0.0050), while $α^{R} =$ 0.8108 (0.0170), $κ_{liq}^{Q} =$ 14.72 (0.0659), and $θ_{liq}^{Q} =$ -0.0013 (0.0001). The maximum log likelihood value is 31,984.82. The numbers in parentheses are the estimated parameter standard deviations.

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