Table 4 Parameter estimates for multivariate GARCH with underlying multivariate normal distribution
From: Diversification evidence of bitcoin and gold from wavelet analysis
Parameter | Estimate | Standard error | t-ratio | p-value |
|---|---|---|---|---|
\(\lambda _\mathrm{{BITCOIN}}^1\) | 0.80870 | 0.017126 | 47.2210 | 0.000 |
\(\lambda _\mathrm{{GOLD}}^1\) | 0.94776 | 0.013943 | 67.9733 | 0.000 |
\(\lambda _\mathrm{{FTSE 100}}^1\) | 0.81444 | 0.024595 | 33.1147 | 0.000 |
\(\lambda _\mathrm{{FTSEINDO}}^1\) | 0.85239 | 0.023417 | 36.4011 | 0.000 |
\(\lambda _\mathrm{{FTSEMY}}^1\) | 0.91016 | 0.013795 | 65.9798 | 0.000 |
\(\lambda _\mathrm{{NIKKEI}}^1\) | 0.84664 | 0.023582 | 35.9023 | 0.000 |
\(\lambda _\mathrm{{NIFTY}}^1\) | 0.89319 | 0.014572 | 61.2951 | 0.000 |
\(\lambda _\mathrm{{S \& P 500}}^1\) | 0.75997 | 0.020344 | 37.3566 | 0.000 |
\(\lambda _\mathrm{{BITCOIN}}^2\) | 0.17843 | 0.015427 | 11.5661 | 0.000 |
\(\lambda _\mathrm{{GOLD}}^2\) | 0.03606 | 0.007019 | 5.1378 | 0.000 |
\(\lambda _\mathrm{{FTSE 100}}^2\) | 0.11129 | 0.013328 | 8.3502 | 0.000 |
\(\lambda _\mathrm{{FTSEINDO}}^2\) | 0.09373 | 0.012722 | 7.3673 | 0.000 |
\(\lambda _\mathrm{{FTSEMY}}^2\) | 0.06519 | 0.008096 | 8.0527 | 0.000 |
\(\lambda _\mathrm{{NIKKEI}}^2\) | 0.11320 | 0.014772 | 7.6630 | 0.000 |
\(\lambda _\mathrm{{NIFTY}}^2\) | 0.06992 | 0.008147 | 8.5828 | 0.000 |
\(\lambda _\mathrm{{S \& P 500}}^2\) | 0.16812 | 0.013868 | 12.1227 | 0.000 |
\(\delta ^1\) | 0.99200 | 0.001207 | 821.8579 | 0.000 |
\(\delta ^2\) | 0.00384 | 0.000475 | 8.0746 | 0.000 |