From: Volatility spillovers, structural breaks and uncertainty in technology sector markets
ATE | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel A: DCC-GJR-GARCH (1,1) model for ATE | ||||||||
Estimated parameters—mean equation AR(1) | ||||||||
AR(1) | − 0.020 | − 0.051*** | 0.117*** | 0.131*** | − 0.033** | − 0.022 | 0.012 | − 0.017 |
(0.014) | (0.015) | (0.016) | (0.016) | (0.015) | (0.016) | (0.013) | (0.014) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.010 | − 0.015** | 0.005 | 0.0048 | 0.019** | 0.034*** | 0.01*** | 0.039*** |
(0.007) | (0.007) | (0.010) | (0.0083) | (0.007) | (0.008) | (0.004) | (0.008) | |
GARCH (β) | 0.911*** | 0.899*** | 0.902*** | 0.9018*** | 0.950*** | 0.963*** | 0.972*** | 0.960*** |
(0.011) | (0.011) | (0.014) | (0.0127) | (0.008) | (0.009) | (0.003) | (0.008) | |
Gamma (γ) | 0.125*** | 0.189*** | 0.152*** | 0.1529*** | 0.050*** | − 0.008 | 0.013** | − 0.007 |
(0.017) | (0.021) | (0.020) | (0.0195) | (0.010) | (0.011) | (0.005) | (0.007) | |
ρ with ATE | 0.900*** | 0.820*** | 0.6171*** | 0.1762** | − 0.011 | 0.027 | − 0.311*** |
MIT | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel B: DCC-GJR-GARCH (1,1) model for MIT | ||||||||
Estimated parameters—mean equation AR(1) | ||||||||
AR(1) | 0.073*** | − 0.051*** | 0.117*** | 0.131*** | − 0.033** | − 0.022 | 0.012 | − 0.017 |
(0.014) | (0.015) | (0.016) | (0.016) | (0.015) | (0.016) | (0.013) | (0.014) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.016* | − 0.015** | 0.005 | 0.004 | 0.019** | 0.034*** | 0.010*** | 0.039*** |
(0.008) | (0.007) | (0.010) | (0.008) | (0.007) | (0.008) | (0.004) | (0.008) | |
GARCH (β) | 0.905*** | 0.899*** | 0.902*** | 0.901*** | 0.950*** | 0.963*** | 0.972*** | 0.960*** |
(0.013) | (0.011) | (0.014) | (0.012) | (0.008) | (0.009) | (0.003) | (0.008) | |
Gamma (γ) | 0.122*** | 0.189*** | 0.152*** | 0.152*** | 0.050*** | − 0.008 | 0.013** | − 0.007 |
(0.018) | (0.021) | (0.020) | (0.019) | (0.010) | (0.011) | (0.005) | (0.007) | |
ρ with MIT | 0.863*** | 0.841*** | 0.643*** | 0.190*** | 0.028 | 0.067 | − 0.289*** |
ABI | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel C: DCC-GJR-GARCH (1,1) model for ABI | ||||||||
Estimated parameters—mean equation AR(1) | ||||||||
AR(1) | − 0.003 | − 0.051*** | 0.117*** | 0.131*** | − 0.033** | − 0.022 | 0.012 | − 0.017 |
(0.015) | (0.015) | (0.016) | (0.016) | (0.015) | (0.016) | (0.013) | (0.014) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.031*** | − 0.015** | 0.005 | 0.004 | 0.019** | 0.034*** | 0.010*** | 0.039*** |
(0.009) | (0.007) | (0.010) | (0.008) | (0.007) | (0.008) | (0.004) | (0.008) | |
GARCH (β) | 0.927*** | 0.899*** | 0.902*** | 0.901*** | 0.950*** | 0.963*** | 0.972*** | 0.960*** |
(0.012) | (0.011) | (0.014) | (0.012) | (0.008) | (0.009) | (0.003) | (0.008) | |
Gamma (γ) | 0.059 | 0.189*** | 0.152*** | 0.152*** | 0.050*** | − 0.008 | 0.013** | − 0.007 |
(0.014) | (0.021) | (0.020) | (0.019) | (0.010) | (0.011) | (0.005) | (0.007) | |
ρ with ABI | 0.662*** | 0.587*** | 0.427*** | 0.094** | − 0.011 | 0.013 | − 0.213*** |
SPC | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel D: DCC− GARCH (1,1) model for SPC | ||||||||
Estimated parameters—mean equation ARMA (1,0) | ||||||||
AR(1) | 0.157*** | − 0.056*** | 0.119*** | 0.123*** | − 0.034** | − 0.015 | 0.006 | − 0.029* |
(0.016) | (0.016) | (0.016) | (0.016) | (0.016) | (0.017) | (0.015) | (0.015) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.088*** | 0.115*** | 0.1097*** | 0.105*** | 0.053*** | 0.035*** | 0.029*** | 0.032*** |
(0.012) | (0.014) | (0.016) | (0.016) | (0.008) | (0.009) | (0.003) | (0.007) | |
GARCH (β) | 0.902*** | 0.861*** | 0.878*** | 0.878*** | 0.941*** | 0.959*** | 0.969*** | 0.963*** |
(0.013) | (0.015) | (0.017) | (0.017) | (0.009) | (0.010) | (0.003) | (0.008) | |
ρ with SPC | 0.088*** | 0.049*** | 0.017 | 0.033 | 0.005 | − 0.007 | − 0.002 |
FIN | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel E: DCC-GARCH (1,1) model for FIN | ||||||||
Estimated parameters—mean equation AR(1) | ||||||||
AR(1) | 0.000 | − 0.053 | 0.073* | 0.101*** | − 0.032 | − 0.026 | 0.062* | − 0.049 |
(0.038) | (0.041) | (0.039) | (0.036) | (0.033) | (0.028) | (0.034) | (0.035) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.130** | 0.198*** | 0.213*** | 0.173*** | 0.039*** | 0.005 | 0.020 | 0.036 |
(0.054) | (0.049) | (0.059) | (0.048) | (0.0131) | (0.006) | (0.013) | (0.029) | |
GARCH (β) | 0.830*** | 0.763*** | 0.742*** | 0.686*** | 0.937*** | 0.975*** | 0.978*** | 0.941*** |
(0.064) | (0.038) | (0.052) | (0.084) | (0.022) | (0.011) | (0.013) | (0.058) | |
ρ with FIN | 0.734*** | 0.729*** | 0.531*** | 0.128** | − 0.069 | − 0.000 | − 0.275*** |
BTC | SP5 | MWO | ESG | OIL | GLD | USD | BND | |
---|---|---|---|---|---|---|---|---|
Panel F: DCC-GARCH (1,1) model for BTC | ||||||||
Estimated parameters—mean equation AR(1) | ||||||||
AR(1) | 0.067** | − 0.053* | 0.095*** | 0.130*** | − 0.048* | − 0.043* | 0.030 | − 0.057** |
(0.033) | (0.031) | (0.031) | (0.029) | (0.028) | (0.024) | (0.028) | (0.028) | |
Estimated parameters—variance equation | ||||||||
ARCH (α) | 0.134*** | 0.211*** | 0.212*** | 0.138*** | 0.058*** | 0.012*** | 0.018*** | 0.020** |
(0.033) | (0.040) | (0.048) | (0.034) | (0.014) | (0.004) | (0.006) | (0.010) | |
GARCH (β) | 0.818*** | 0.742*** | 0.749*** | 0.838*** | 0.922*** | 0.984*** | 0.981*** | 0.974*** |
(0.041) | (0.034) | (0.040) | (0.037) | (0.021) | (0.006) | (0.006) | (0.013) | |
ρ with BTC | − 0.017 | 0.0008 | − 0.0072 | − 0.0048 | 0.0380 | 0.0333 | − 0.0087 |