Table 5 The mean dynamic correlations, obtained from DCC/ADCC GARCH
Set | Mean dynamic correlation (DCC) | Mean dynamic correlation (ADCC) |
|---|---|---|
ORI-OPEC | 0.096 | 0.252 |
ORI-OVX | −0.333 | − 0.313 |
ORI-TPI | 4.247 | 4.276 |
PET-OPEC | 0.0056 | 0.018 |
PET-OVX | 0.008 | 0.022 |
PET-TPI | 0.509 | 0.534 |
ODR-OPEC | −0.042 | −0.018 |
ODR-OVX | −0.021 | − 0.025 |
ODR-TPI | 0.393 | 0.414 |