Table 1
Descriptive Statistics, Ljung–Box and ADF Test Results of Sampled Variables’ Returns.
Variable
|
Basic Statistic
|
JB
|
SW
|
Ljung–Box
|
ADF
|
#Obs.
|
Min
|
Mean
|
Max
|
St. dev
|
Skewness
|
Kurtosis
|
(p- values of test)
|
Gold
|
240
|
-19.10%
|
0.70%
|
13.03%
|
4.82%
|
-34.14%
|
1.14
|
0.02%
|
1.34%
|
42.19%
|
1.00%
|
Oil
|
240
|
-31.72%
|
0.38%
|
18.43%
|
8.51%
|
-102.27%
|
1.62
|
0.00%
|
0.00%
|
0.05%
|
1.00%
|
SALSI
|
240
|
-15.03%
|
0.81%
|
13.13%
|
4.64%
|
-24.36%
|
0.63
|
4.27%
|
6.11%
|
43.61%
|
1.00%
|
ZAR
|
240
|
-11.48%
|
0.33%
|
20.09%
|
4.83%
|
57.48%
|
0.95
|
0.00%
|
0.25%
|
87.30%
|
1.00%
|
NSE
|
240
|
-36.59%
|
0.64%
|
32.35%
|
6.86%
|
-38.38%
|
5.16
|
0.00%
|
0.00%
|
0.04%
|
1.00%
|
NGN
|
240
|
-5.32%
|
0.54%
|
35.26%
|
3.12%
|
661.75%
|
65.15
|
0.00%
|
0.00%
|
7.85%
|
1.00%
|
BSEDCI
|
240
|
-10.70%
|
0.70%
|
13.85%
|
3.27%
|
28.69%
|
2.83
|
0.00%
|
0.00%
|
0.00%
|
1.00%
|
BWP
|
240
|
-7.99%
|
0.34%
|
19.13%
|
3.26%
|
113.53%
|
5.19
|
0.00%
|
0.00%
|
50.37%
|
1.00%
|
KNSE
|
240
|
-25.67%
|
0.04%
|
15.98%
|
5.89%
|
-70.52%
|
2.89
|
0.00%
|
0.00%
|
0.30%
|
1.00%
|
KES
|
240
|
-10.63%
|
0.14%
|
11.84%
|
2.06%
|
15.25%
|
9.47
|
0.00%
|
0.00%
|
1.09%
|
1.00%
|
EGX 30
|
240
|
-40.33%
|
1.00%
|
31.19%
|
9.11%
|
-16.37%
|
1.91
|
0.00%
|
0.15%
|
0.04%
|
1.24%
|
EGP
|
240
|
-17.19%
|
0.64%
|
69.60%
|
5.07%
|
1062.79%
|
142.57
|
0.00%
|
0.00%
|
0.88%
|
1.00%
|
GSE
|
240
|
-32.37%
|
1.28%
|
20.11%
|
5.75%
|
-45.45%
|
5.87
|
0.00%
|
0.00%
|
83.70%
|
1.00%
|
GHS
|
240
|
-22.53%
|
1.14%
|
15.79%
|
2.84%
|
-103.01%
|
23.26
|
0.00%
|
0.00%
|
0.00%
|
1.00%
|
Tunindex
|
240
|
-11.78%
|
0.70%
|
12.63%
|
3.46%
|
-6.10%
|
1.42
|
0.00%
|
0.12%
|
21.07%
|
1.00%
|
TND
|
240
|
-5.50%
|
0.32%
|
9.54%
|
2.16%
|
46.63%
|
1.54
|
0.00%
|
0.17%
|
32.41%
|
1.00%
|
DZAIR
|
144
|
-7.77%
|
0.30%
|
13.65%
|
2.53%
|
97.17%
|
5.79
|
0.00%
|
0.00%
|
16.28%
|
3.09%
|
DZD
|
144
|
-2.91%
|
0.41%
|
9.88%
|
1.69%
|
228.49%
|
8.54
|
0.00%
|
0.00%
|
1.38%
|
1.00%
|
MASI
|
216
|
-16.97%
|
0.58%
|
18.34%
|
4.18%
|
14.18%
|
2.73
|
0.00%
|
0.00%
|
4.81%
|
2.52%
|
MAD
|
216
|
-6.99%
|
-0.09%
|
9.78%
|
2.25%
|
46.53%
|
2.28
|
0.00%
|
0.00%
|
52.65%
|
1.00%
|
XOF
|
137
|
-8.94%
|
0.24%
|
11.44%
|
2.98%
|
42.78%
|
1.74
|
0.00%
|
0.33%
|
66.98%
|
1.15%
|
BRVM-CI
|
137
|
-12.82%
|
-0.30%
|
14.20%
|
4.50%
|
13.36%
|
0.87
|
9.30%
|
19.15%
|
6.42%
|
1.00%
|
ZMK
|
137
|
-19.37%
|
1.02%
|
30.40%
|
5.55%
|
150.12%
|
9.08
|
0.00%
|
0.00%
|
82.52%
|
1.12%
|
LuALSI
|
137
|
-18.23%
|
0.11%
|
15.32%
|
4.54%
|
-54.35%
|
3.57
|
0.00%
|
0.00%
|
0.81%
|
1.00%
|
UGX
|
132
|
-9.26%
|
0.61%
|
11.89%
|
2.89%
|
23.52%
|
3.29
|
0.00%
|
0.00%
|
7.04%
|
1.00%
|
UALSI
|
132
|
-32.34%
|
0.42%
|
16.77%
|
6.62%
|
-111.09%
|
3.89
|
0.00%
|
0.00%
|
22.92%
|
1.00%
|
TZS
|
158
|
-5.54%
|
0.36%
|
9.55%
|
1.74%
|
152.33%
|
9.32
|
0.00%
|
0.00%
|
40.09%
|
5.53%
|
DSEAI
|
158
|
-127.27%
|
0.46%
|
129.85%
|
14.92%
|
15.99%
|
67.78
|
0.00%
|
0.00%
|
0.00%
|
1.00%
|
ETB
|
240
|
-4.81%
|
0.57%
|
18.41%
|
1.92%
|
622.12%
|
47.35
|
0.00%
|
0.00%
|
99.99%
|
1.99%
|
CDF
|
240
|
-27.10%
|
2.18%
|
119.38%
|
12.39%
|
695.87%
|
54.45
|
0.00%
|
0.00%
|
2.47%
|
2.15%
|
LYD
|
240
|
-3.45%
|
0.45%
|
71.15%
|
5.01%
|
1202.46%
|
164.00
|
0.00%
|
0.00%
|
90.26%
|
1.00%
|
AOA
|
240
|
-8.15%
|
1.84%
|
27.29%
|
4.08%
|
294.17%
|
12.59
|
0.00%
|
0.00%
|
0.00%
|
5.90%
|
SDG
|
147
|
-5.58%
|
0.58%
|
50.70%
|
4.90%
|
832.33%
|
77.71
|
0.00%
|
0.00%
|
99.99%
|
1.00%
|
Khartoum 30
|
147
|
-26.78%
|
0.70%
|
25.83%
|
6.54%
|
46.66%
|
4.51
|
0.00%
|
0.00%
|
0.66%
|
4.59%
|
Table 2
Models Fitted for the Marginals.
Variable
|
Z_t
|
GARCH Family
|
ARMA
|
GARCH
|
AIC
|
LLH
|
(p , q)
|
Gold
|
t
|
Exponential
|
(1,1)
|
(1,1)
|
-3.31
|
404.70
|
Oil
|
sN
|
GJR
|
(1,0)
|
(1,1)
|
-2.31
|
283.61
|
SALSI
|
N
|
GJR
|
(0,0)
|
(1,1)
|
-3.43
|
416.12
|
ZAR
|
st
|
Standard
|
(0,0)
|
(1,1)
|
-3.26
|
397.25
|
NSE
|
N
|
GJR
|
(1,0)
|
(1,2)
|
-2.68
|
327.19
|
NGN
|
N
|
GJR
|
(1,0)
|
(1,1)
|
-4.14
|
502.23
|
BSEDCI
|
t
|
Standard
|
(1,0)
|
(1,1)
|
-4.53
|
548.93
|
BWP
|
st
|
Standard
|
(0,0)
|
(0,1)
|
-4.11
|
497.07
|
NSE
|
st
|
Standard
|
(1,1)
|
(2,2)
|
-2.95
|
363.49
|
KES
|
t
|
Standard
|
(1,0)
|
(1,1)
|
-5.58
|
675.48
|
EGX30
|
st
|
Standard
|
(1,0)
|
(1,1)
|
-1.99
|
242.34
|
EGP
|
st
|
Exponential
|
(1,0)
|
(1,1)
|
-6.54
|
792.89
|
GSE
|
t
|
Exponential
|
(1,0)
|
(1,1)
|
-3.51
|
427.73
|
GHS
|
st
|
GJR
|
(1,0)
|
(1,1)
|
-6.26
|
759.74
|
Tunindex
|
t
|
Exponential
|
(1,1)
|
(1,2)
|
-3.94
|
480.71
|
TND
|
t
|
Standard
|
(1,0)
|
(1,2)
|
-4.88
|
590.86
|
DZAIR
|
t
|
Exponential
|
(0,0)
|
(1,1)
|
-4.88
|
355.18
|
DZD
|
t
|
Exponential
|
(1,0)
|
(1,1)
|
-5.86
|
429.10
|
MASI
|
N
|
Exponential
|
(1,0)
|
(1,1)
|
-3.70
|
405.95
|
MAD
|
t
|
Standard
|
(2,2)
|
(2,2)
|
-4.94
|
543.31
|
XOF
|
st
|
Exponential
|
(1,0)
|
(1,1)
|
-4.38
|
308.36
|
BRVM-CI
|
N
|
Standard
|
(1,0)
|
(1,2)
|
-3.39
|
237.52
|
ZMK
|
st
|
Exponential
|
(1,0)
|
(1,1)
|
-3.48
|
246.16
|
LuALSI
|
t
|
Exponential
|
(1,1)
|
(1,1)
|
-3.84
|
271.23
|
UGX
|
t
|
Standard
|
(1,0)
|
(1,1)
|
-4.74
|
454.85
|
UALSI
|
sN
|
GJR
|
(1,1)
|
(1,1)
|
-2.42
|
236.46
|
TZS
|
st
|
Exponential
|
(1,1)
|
(1,1)
|
-6.53
|
524.54
|
DSEAI
|
st
|
Standard
|
(0,0)
|
(1,1)
|
-3.99
|
320.88
|
ETB
|
st
|
Exponential
|
(0,0)
|
(1,1)
|
-7.75
|
937.18
|
CDF
|
t
|
GJR
|
(1,1)
|
(1,1)
|
-5.01
|
608.07
|
LYD
|
t
|
Standard
|
(0,0)
|
(1,1)
|
-5.54
|
668.90
|
AOA
|
t
|
GJR
|
(1,1)
|
(1,1)
|
-5.65
|
686.10
|
SDG
|
st
|
Standard
|
(1,0)
|
(1,1)
|
-6.07
|
452.06
|
Khartoum 30
|
t
|
Standard
|
(1,0)
|
(1,1)
|
-3.83
|
286.64
|
Table 3. a)
Estimations of the Marginal Models.
Variable
|
Mean
|
ar (1)
|
ma(1)
|
ω
|
α
|
δ (1)
|
δ (2)
|
γ
|
ξ - (Skew)
|
ν - (Shape)
|
Gold
|
0.0083 *
|
0.3971 *
|
-0.51 *
|
-0.0114 *
|
0.1061 *
|
0.9998 ***
|
|
-0.1127 *
|
|
13.1132 *
|
Oil
|
|
0.181 ***
|
|
0.0014
|
|
0.6405 *
|
|
0.3394
|
0.6681 *
|
|
SALSI
|
0.0077 *
|
|
|
0.0002
|
0.0569
|
0.644 *
|
|
0.4176 ***
|
|
|
ZAR
|
0.0056 ***
|
|
|
0.0004 **
|
0.1635 **
|
0.6888 *
|
|
|
1.3837 *
|
15.8972
|
NSE
|
0.0094 **
|
0.1697 *
|
|
0.0008 *
|
|
0.6754 *
|
|
0.2642 **
|
|
|
NGN
|
0.0104 *
|
0.1661 *
|
|
0.0005 *
|
0.0313 *
|
0.567 *
|
|
-0.277 *
|
|
|
BSEDCI
|
|
0.5008 *
|
|
|
0.2681 **
|
0.7166 *
|
|
|
|
4.405 *
|
BWP
|
|
|
|
|
|
0.998 *
|
|
|
1.1361 *
|
8.1954 ***
|
KES
|
|
0.1435 ***
|
|
|
0.2253 *
|
0.7737 *
|
|
|
0.9776 *
|
4.2246 *
|
EGX30
|
|
0.1462 **
|
|
|
|
0.999 *
|
|
|
0.9536 *
|
7.6921 *
|
EGP
|
0.0016 *
|
0.0795 ***
|
|
-1.2104 *
|
-1.0544
|
0.8027 *
|
|
1.7776
|
1.2275 *
|
2.01 *
|
GSE
|
0.0074 *
|
0.4728 *
|
|
-1.7316
|
0.0607
|
0.6553 ***
|
|
1.552
|
|
2.2688
|
GHS
|
0.0033 *
|
0.7882 *
|
-0.3649 **
|
|
0.877 *
|
0.7014 *
|
|
-1 *
|
1.2595 *
|
2.3977 *
|
Tunindex
|
0.0068 *
|
0.7675 *
|
-0.6575 *
|
-2.1874 **
|
|
0.2023
|
0.4724 *
|
0.393 *
|
|
4.9388 *
|
TND
|
|
0.1714 **
|
|
|
0.0783
|
0.8405 *
|
|
|
|
7.6075 **
|
DZAIR
|
|
|
|
-1.6123 **
|
|
0.7241 *
|
|
1 ***
|
|
2.1 *
|
DZD
|
0.0035 **
|
0.2154 *
|
|
-1.8345 *
|
|
0.7793 *
|
|
0.3091 *
|
1.5394 *
|
3.0213 *
|
MASI
|
0.0082
|
0.1481
|
|
-0.2048 *
|
0.0464
|
0.969 *
|
|
-0.1734 **
|
|
|
XOF
|
0.0079 *
|
-0.0328 *
|
|
-0.0528 *
|
0.2624 *
|
0.9883 *
|
|
-0.1237 *
|
1.5673 *
|
37.1399 ***
|
BRVM-CI
|
|
0.1796 ***
|
|
0.0004 ***
|
0.1814 **
|
|
0.5907 **
|
|
|
|
ZMK
|
0.0099 *
|
-0.1277
|
|
-0.3595 *
|
0.2628 *
|
0.942 *
|
|
-0.0069
|
1.3221 *
|
3.8407 ***
|
LuALSI
|
-0.006 *
|
0.7248 *
|
-0.5789 *
|
-0.0758 *
|
-0.4621 *
|
0.9839 *
|
|
-0.274 *
|
|
2.5603 *
|
UGX
|
|
0.1464 **
|
|
0.0001
|
0.385 *
|
0.614 *
|
|
|
|
3.2857 *
|
UALSI
|
|
0.5551 *
|
-0.5182 *
|
0.0032 *
|
|
0.1462
|
|
0.8639 **
|
0.7281 *
|
|
TZS
|
0.0006 **
|
0.7474 *
|
-0.6666 *
|
-0.2539
|
-0.8819 **
|
0.9616 *
|
|
3.2577 *
|
1.0504 *
|
2.01 *
|
DSEAI
|
0.0052 **
|
|
|
0.0003
|
0.74 ***
|
0.259 ***
|
|
|
1.2143 *
|
2.6109 *
|
ETB
|
0.0036 *
|
|
|
-0.0387 *
|
0.0543 *
|
0.99 *
|
|
-0.6055 *
|
1.491 *
|
2.01 *
|
CDF
|
|
0.9625 *
|
-0.9564 *
|
|
0.9121 *
|
0.4664 *
|
|
-0.759 *
|
|
2.6893 *
|
LYD
|
|
|
|
|
|
0.9942 *
|
|
|
|
2.1492 *
|
AOA
|
0.0008 ***
|
0.6824 *
|
-0.1209 ***
|
|
0.3987 *
|
0.9071 *
|
|
-0.6244 *
|
|
2.1309 *
|
SDG
|
|
0.0137 *
|
|
0.0004 **
|
|
0.931 *
|
|
|
1.0928 *
|
2.01 *
|
Khartoum 30
|
|
-0.1514
|
|
|
0.4933 *
|
0.5057 *
|
|
|
|
2.7891 *
|
Table 3. b)
Estimations of the Marginal Models for MAD and NSE.
Variable
|
ar(1)
|
ar(2)
|
ma(1)
|
ma(2)
|
ω
|
α(1)
|
α(2)
|
δ (1)
|
δ (2)
|
ξ - (Skew)
|
ν - (Shape)
|
MAD
|
1.1829 *
|
-0.8864 *
|
-1.2217 *
|
0.9794 *
|
|
|
0.1391
|
0.3406
|
0.4992 **
|
|
6.5822 *
|
NSE
|
0.8331 *
|
|
-0.7265 *
|
|
0.0007 ***
|
0.131
|
0.0128
|
0.5344
|
0.1673
|
0.913 *
|
3.7793 *
|
Table 4
Results from Non-consistency Test, Goodness of fit Tests and Student t -Copula Estimation.
Economy
|
Non-consitency
|
GoF
|
Estimate
|
|
(p - values of tests)
|
t
|
t - DoF
|
Algeria
|
0.1124
|
0.5709
|
-0.0141
|
31.714
|
Angola
|
0.9875
|
0.1324
|
0.0167
|
155.683
|
Botswana
|
0.4630
|
0.6938
|
-0.0451
|
11.740
|
DRC
|
0.7907
|
0.3741
|
0.0788
|
18.393
|
Cote d'Ivoire
|
0.8487
|
0.3871
|
-0.0942
|
17.590
|
Arab Rep. of Egypt
|
0.4381
|
0.3641
|
0.0387
|
8.101
|
Ethiopia
|
0.5380
|
0.0115
|
0.0310
|
25.823
|
Ghana
|
0.8047
|
0.7468
|
0.0252
|
78.105
|
Kenya
|
0.0085
|
0.9545
|
-0.0161
|
16.090
|
Libya
|
0.7398
|
0.0015
|
-0.1657
|
9.138
|
Morocco
|
0.5360
|
0.1204
|
-0.0713
|
10.167
|
Nigeria
|
0.9675
|
0.0115
|
0.0164
|
11.413
|
South Africa
|
0.4910
|
0.1154
|
-0.0107
|
10.552
|
Sudan
|
0.5280
|
0.0295
|
-0.0098
|
29.904
|
Tanzania
|
0.2113
|
0.0005
|
0.2365
|
4.316
|
Tunisia
|
0.7258
|
0.0445
|
-0.0683
|
11.458
|
Uganda
|
0.2852
|
0.8267
|
0.0242
|
14.815
|
Zambia
|
0.5719
|
0.5350
|
-0.0160
|
31.385
|
Table 5
Student t copula DCC Correlation Joint Parameter Estimates.
Economy
|
α_1
|
α_2
|
ν - (Shape)
|
Algeria
|
0.0000
|
0.9811 *
|
22.6571
|
Angola
|
0.0000
|
0.9283
|
43.7867
|
Botswana
|
0.0000
|
0.9581 *
|
19.6967
|
DRC
|
0.0000
|
0.9994 *
|
49.9941
|
Cote d'Ivoire
|
0.0000
|
0.9998 *
|
49.9989 **
|
Arab Rep. of Egypt
|
0.0054
|
0.949 *
|
12.3214
|
Ethiopia
|
0.0000
|
0.9365
|
25.7773
|
Ghana
|
0.0000
|
0.0030
|
50.0000
|
Kenya
|
0.0000
|
0.0004
|
50.0000
|
Libya
|
0.0003
|
0.9576
|
17.9682
|
Morocco
|
0.0000
|
0.9591
|
22.6450
|
Nigeria
|
0.0000
|
0.9808 *
|
20.9641 ***
|
South Africa
|
0.0065
|
0.9417 **
|
18.8172
|
Sudan
|
0.0629 ***
|
0.3903 ***
|
50.0000
|
Tanzania
|
0.0578
|
0.9415 *
|
24.8498 **
|
Tunisia
|
0.0000
|
0.0103
|
20.0518
|
Uganda
|
0.0000
|
0.9914 *
|
28.6195
|
Zambia
|
0.0086
|
0.9117 *
|
29.6786
|
*** =>Statistical significance at 10%; ** => statistical significance at 5% and* => statistical significance at 1%. |
Table 6
Average Dynamic Conditional Correlation.
Economy
|
Stock Market
|
Exch. Rates
|
Gold & Crude Oil
|
Exch. Rates
|
Gold
|
Crude Oil
|
Gold
|
Crude Oil
|
Algeria
|
0.0185
|
-0.0672
|
-0.0190
|
-0.1550
|
-0.1166
|
0.0883
|
Angola
|
-
|
-
|
-
|
-0.0350
|
-0.0223
|
-0.1038
|
Botswana
|
0.1201
|
-0.0116
|
-0.0074
|
-0.3094
|
-0.2055
|
0.1382
|
Cote d'Ivoire
|
-0.1372
|
-0.0190
|
0.0929
|
-0.3296
|
-0.2634
|
0.0982
|
DRC
|
0.0000
|
0.0000
|
0.0000
|
0.0789
|
-0.0174
|
0.1427
|
Egypt Arab Rep.
|
0.0727
|
0.1498
|
0.1969
|
-0.1072
|
-0.0072
|
0.1383
|
Ethiopia
|
-
|
-
|
-
|
0.0150
|
0.0227
|
0.1356
|
Ghana
|
-0.0106
|
0.0165
|
0.0793
|
-0.0742
|
0.0077
|
0.1201
|
Kenya
|
-0.0431
|
0.0641
|
-0.0752
|
-0.1104
|
-0.1150
|
0.1331
|
Libya
|
-
|
-
|
-
|
-0.3958
|
-0.1884
|
0.1315
|
Morocco
|
-0.0413
|
0.0346
|
-0.0012
|
-0.3748
|
-0.2290
|
0.1215
|
Nigeria
|
-0.0389
|
0.0272
|
0.1152
|
0.0301
|
-0.1287
|
0.1488
|
South Africa
|
-0.1621
|
0.2045
|
0.1873
|
-0.2940
|
-0.1784
|
0.1040
|
Sudan
|
0.0836
|
-0.1226
|
0.0323
|
-0.1038
|
0.0241
|
0.2382
|
Tanzania
|
0.0329
|
0.0196
|
0.0424
|
0.0435
|
0.1710
|
0.7972
|
Tunisia
|
0.0127
|
0.0004
|
0.0009
|
-0.4154
|
-0.1419
|
0.1232
|
Uganda
|
0.0260
|
0.0695
|
0.1050
|
-0.0702
|
-0.1912
|
0.1758
|
Zambia
|
0.0341
|
-0.1244
|
0.1396
|
-0.1333
|
-0.1313
|
0.0991
|