Contagion effect of migration fear in pre and European refugee’s crisis period: evidence from multivariate GARCH and wavelet empirical analysis

Comparative Migration Studies

Table 6 DCC-GARCH estimation results

	Pre-European refugee’s crisis period				European refugee’s crisis period
	FR_Fear	GER_Fear	UK_Fear	USA_Fear	FR_Fear	GER_Fear	UK_Fear	USA_Fear
\(c_{0}\)	144.643	132.876***	121.07***	101.79***	154.52***	523.612***	326.94***	129.941***
\(\varphi\)	0.566**	0.647**	0.88***	0.794***	0.612***	0.513***	0.478***	0.422**
\(\omega_{0}\)	377.88***	378.97***	379.33***	296.542**	677.00**	1552.55***	993.58**	306.38**
\(a\)	0.42***	0.368***	0.496**	0.602***	0.141**	0.626**	0.38***	0.534**
\(b\)	0.49**	0.395***	0.420**	0.342**	0.714***	0.231**	0.595***	0.457**
\(DCC\left( \alpha \right)\)	0.430**				0.428**
\(DCC\left( \beta \right)\)	0.590**				0.515**
Df	7.580**				8.234**
Log likelihood	442.989				3291.77
AIC	36.557				265.58
SC	37.41				266.94