Features of different asset types and extreme risk transmission during the COVID-19 crisis

Financial Innovation

Table 2 The estimations of GARCH (1,1) model \(\Delta {y}_{t}=\mu +{\varepsilon }_{t}\), \({\varepsilon }_{t}\sim N\left(0,{\sigma }_{t}^{2}\right)\), \({\sigma }_{t}^{2}=c+a{\varepsilon }_{t-1}^{2}+\beta {\sigma }_{t-1}^{2}\), \(y\) denotes asset return

Variables	\(\Delta CCI\)	\(\Delta BTC\)	\(\Delta WSPI\)	\(\Delta WTI\)
\(\mu\)	0.0019**	0.0022**	0.0007***	0.0011**
	[2.0683]	[2.5416]	[5.0407]	[2.5435]
\(c\)	0.0001***	0.0001***	< 0.0000***	< 0.0000***
	[3.9218]	[4.7462]	[5.4204]	[4.6547]
\(a\)	0.1271***	0.1392***	0.2099***	0.2112***
	[7.3980]	[6.9799]	[8.3564]	[9.2657]
\(\beta\)	0.8547***	0.8204***	0.7742***	0.7819***
	[46.0244]	[35.5481]	[33.6462]	[36.4525]

	\(\Delta WEPI\)	\(\Delta Gold\)	\(\Delta GSCI\)	\(\Delta REITs\)
\(\mu\)	0.0003	< 0.0000	0.0006**	0.0004
	[0.9920]	[0.2220]	[2.3977]	[1.9591]
\(c\)	< 0.0000***	< 0.0000	< 0.0000***	< 0.0000***
	[2.8475]	[1.4894]	[3.9869]	[4.0186]
\(a\)	0.1119***	0.0307***	0.0790***	0.1538***
	[8.3060]	[3.3156]	[7.9166]	[7.1199]
\(\beta\)	0.8874***	0.9612***	0.8967***	0.8130***
	[70.5536]	[69.0150]	[67.9285]	[31.5292]

This table shows the conditional volatility estimations of the assets. \(\Delta CCI\), \(\Delta BTC\), \(\Delta WSPI\), \(\Delta WTI\), \(\Delta WEPI\), \(\Delta Gold\), \(\Delta GSCI\), and \(\Delta REITs\) respectively denote the return of cryptocurrency index, Bitcoin price, MSCI World Stock Price Index, WTI crude oil spot price, MSCI World Energy Price Index, gold spot price, S&P Goldman Sachs Commodity Index, and FTSE NAREIT All REITs index. Number in brackets is t-statistic. The symbols ** and *** denote significance at 5% and 1% level, respectively