From: Features of different asset types and extreme risk transmission during the COVID-19 crisis
Risk factor:\(\Delta SI\) | Â | Â | Â | Â | Â | Â | Â | |
---|---|---|---|---|---|---|---|---|
Variables | \(\Delta CCI\) | \(\Delta BTC\) | \(\Delta WSPI\) | \(\Delta WTI\) | \(\Delta WEPI\) | \(\Delta Gold\) | \(\Delta GSCI\) | \(\Delta REITs\) |
\({\theta }_{0}\) | 0.0013 | 0.0016*** | 0.0007 | 0.0028*** | 0.0011 | − 0.0002*** | 0.0014*** | 0.0003*** |
 | [0.3620] | [19.7103] | [1.8461] | [3.0947] | [1.4468] | [− 112.3294] | [2.6150] | [82.6677] |
\({\theta }_{1}\) | − 0.0496 | − 0.0738*** | 0.0358 | − 0.0612 | 0.0575 | 0.0661*** | 0.0210 | 0.0301*** |
 | [− 0.7446] | [− 33.4822] | [0.7898] | [− 1.4709] | [1.4039] | [13.5543] | [0.4751] | [855.1747] |
\({\theta }_{2}\) | 0.0824*** | 0.0306*** | 0.0075 | − 0.0343 | − 0.0235 | 0.0031*** | − 0.0503*** | 0.0236*** |
 | [5.9802] | [55.5470] | [0.6722] | [− 1.7155] | [− 1.073] | [32.0924] | [− 19.0469] | [62.9887] |
\(c\) | 0.0024*** | 0.0019*** |  < 0.0000*** | 0.0002*** |  < 0.0000*** |  < 0.0000*** |  < 0.0000*** | 0.0001*** |
 | [22.3893] | [100.9414] | [3.3143] | [4.1188] | [4.2876] | [156.2189] | [327.8977] | [116.3445] |
\(a\) | 0.0190*** | 0.0041*** | 0.1802*** | 0.7641*** | 0.0460*** | 0.1217*** | 0.1532*** | 0.2948*** |
 | [680.516] | [229.3772] | [4.7773] | [7.2732] | [2.8815] | [64.8860] | [757.3872] | [1744.7736] |
\(\beta\) | 0.1854*** | 0.1755*** | 0.7896*** | 0.3779*** | 0.8981*** | 0.6619*** | 0.7905*** | 0.3716*** |
 | [110.8882] | [2498.4900] | [21.1602] | [5.9501] | [39.9693] | [1099.3975] | [151.4857] | [169.9104] |
\(\gamma\) | 0.0100*** | 0.0077*** |  < 0.0000 | 0.0008 | 0.0009*** | 0.0003*** | 0.0005*** | 0.0005*** |
 | [23.2134] | [101.0555] | [0.7124] | [0.9799] | [5.8619] | [170.6974] | [35.9492] | [128.8896] |
Risk factor:\(\Delta EPU\) | Â | Â | Â | Â | Â | Â | Â | |
---|---|---|---|---|---|---|---|---|
Variables | \(\Delta CCI\) | \(\Delta BTC\) | \(\Delta WSPI\) | \(\Delta WTI\) | \(\Delta WEPI\) | \(\Delta Gold\) | \(\Delta GSCI\) | \(\Delta REITs\) |
\({\theta }_{0}\) | 0.0022 | 0.0014 | 0.0006 | 0.0029*** | 0.0012 | − 0.0001 | 0.0013** | 0.0013*** |
 | [1.1996] | [0.7246] | [1.8383] | [3.0278] | [1.5802] | [− 0.2973] | [2.4098] | [24.7283] |
\({\theta }_{1}\) | 0.0104 | − 0.0263 | 0.0379 | − 0.0561 | 0.0626 | 0.0326 | 0.0287 | 0.0246 |
 | [0.2365] | [− 0.6084] | [0.8379] | [− 1.2659] | [1.4515] | [0.7337] | [0.6432] | [0.8271] |
\({\theta }_{2}\) | − 0.0012 | − 0.0008 | 0.0000 | 0.0007 | − 0.0002 | 0.0001 | − 0.0009 | − 0.0003 |
 | [− 0.2398] | [− 0.1917] | [0.0192] | [0.3507] | [− 0.0994] | [0.1618] | [− 0.811] | [− 0.8502] |
\(c\) | 0.0001** | 0.0001 |  < 0.0000*** | 0.0002*** |  < 0.0000** |  < 0.0000** |  < 0.0000*** |  < 0.0000*** |
 | [2.2012] | [1.8336] | [2.9289] | [3.6934] | [2.3922] | [2.2715] | [2.6257] | [339.1972] |
\(a\) | 0.1203*** | 0.0572 | 0.1834*** | 0.7525*** | 0.1019*** | 0.0763*** | 0.1024*** | 0.3551*** |
 | [4.1281] | [1.8964] | [4.9730] | [6.5599] | [3.1199] | [2.6447] | [3.4057] | [160.8725] |
\(\beta\) | 0.8481*** | 0.8862*** | 0.7935*** | 0.3821*** | 0.8569*** | 0.8402*** | 0.8616*** | 0.6369*** |
 | [24.4995] | [17.3119] | [21.7960] | [4.9297] | [21.4657] | [14.9133] | [23.4618] | [3608.1487] |
\(\gamma\) | 0.0007** | 0.0004 |  < − 0.0000 |  < 0.0000 | 0.0001 |  < 0.0000** |  < 0.0000 | 0.0001*** |
 | [2.0261] | [1.1692] | [− 1.1043] | [0.3394] | [1.5658] | [2.1606] | [1.1471] | [450.9683] |