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

Tsai, I-Chun

doi:10.1186/s40854-023-00510-5

Financial Innovation

Table 6 The relationship between asset returns and total infected cases: the VAR-MGARCH model

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

	\(\Delta CCI\)		\(\Delta BTC\)		\(\Delta WSPI\)		\(\Delta WTI\)
Variable	Coefficient	t-Statistic	Coefficient	t-Statistic	Coefficient	t-Statistic	Coefficient	t-Statistic
Mean model:\(\Delta {y}_{t}\)
\({\psi }_{11}\)	− 0.1100	− 2.8984	− 0.0527	− 1.4323	0.0128	0.3143	− 0.0330	− 0.7640
\({\psi }_{21}\)	0.0116	0.3786	0.0400	1.0702	− 0.0048	− 0.4567	− 0.0441	− 3.1779
\({\phi }_{y,t}\)	− 0.2492	− 1.1518	0.1457	0.8634	0.0884	3.0005	0.2763	2.8350
Mean model:\(\Delta {TC}_{t}\)
\({\psi }_{12}\)	− 0.0001	− 0.1001	− 0.0006	− 1.0199	0.0003	0.1277	− 0.0007	− 0.9216
\({\psi }_{22}\)	0.1996	22.9835	0.7086	25.0757	0.7158	25.8383	0.6679	25.2747
\({\phi }_{x,t}\)	0.1049	16.0787	0.0239	6.8618	0.0232	6.1393	0.0267	7.7507
Variance model
\({c}_{11}\)	1.3366	5.3072	2.4970	6.2373	0.1474	5.1065	1.6406	8.7827
\({c}_{21}\)	0.0610	11.5451	0.0048	2.1872	0.0050	1.2517	0.0004	0.1457
\({c}_{22}\)	< 0.0000	0.0000	< − 0.0000	− 0.0001	0.0038	0.6251	0.0051	1.5030
\({a}_{11}\)	0.2637	8.7881	− 0.1677	− 2.9413	− 0.2684	− 9.0183	0.8518	13.8189
\({a}_{12}\)	0.0062	3.2664	0.0002	0.3530	− 0.0014	− 0.5728	0.0019	1.1112
\({a}_{21}\)	− 0.0146	− 0.1918	0.1969	3.6465	− 0.0266	− 2.0085	0.1471	3.1291
\({a}_{22}\)	1.5113	25.1957	0.5201	19.3417	0.5282	19.3352	0.5115	20.8847
\({b}_{11}\)	0.9298	62.3234	− 0.8017	− 12.4816	0.9539	97.7096	0.5618	7.8991
\({b}_{12}\)	− 0.0029	− 2.9571	0.0011	0.8920	− 0.0006	− 0.7255	− 0.0010	− 0.9735
\({b}_{21}\)	− 0.0402	− 0.9031	− 0.0202	− 0.2760	− 0.0039	− 0.8114	− 0.0624	− 2.8858
\({b}_{22}\)	0.1703	5.8202	0.8830	115.1169	0.8835	110.8897	0.8913	137.8748

	\(\Delta WEPI\)		\(\Delta Gold\)		\(\Delta GSCI\)		\(\Delta REITs\)
Variable	Coefficient	t-Statistic	Coefficient	t-Statistic	Coefficient	t-Statistic	Coefficient	t-Statistic
Mean model:\(\Delta {y}_{t}\)
\({\psi }_{11}\)	0.1522	3.8637	− 0.0011	− 0.0278	0.1131	3.1478	0.1070	2.7823
\({\psi }_{21}\)	0.0166	1.0682	0.0219	5.0490	0.0407	3.5082	0.0238	2.1321
\({\phi }_{y,t}\)	0.2141	3.1001	− 0.0219	− 0.5714	0.1637	3.3290	0.1077	2.4120
Mean model:\(\Delta {TC}_{t}\)
\({\psi }_{12}\)	0.0042	2.1454	0.0012	0.4414	− 0.0010	− 0.3794	0.0038	1.3847
\({\psi }_{22}\)	0.2070	25.8571	0.6866	24.4510	0.1984	17.6438	0.2067	23.9408
\({\phi }_{x,t}\)	0.0810	19.0021	0.0264	7.5898	0.0947	9.3057	0.0884	16.4561
Variance model
\({c}_{11}\)	0.5802	6.0520	0.4309	6.1878	0.2833	7.8666	0.2611	6.3818
\({c}_{21}\)	− 0.0444	− 8.6982	− 0.0052	− 1.9107	− 0.0003	− 0.0093	0.0098	0.2579
\({c}_{22}\)	< 0.0000	0.0000	< − 0.0000	− 0.0004	− 0.0646	− 13.1353	0.0542	5.5077
\({a}_{11}\)	− 0.1659	− 4.3853	− 0.2407	− 4.8169	− 0.2443	− 10.1158	− 0.2282	− 7.2965
\({a}_{12}\)	− 0.0176	− 5.2948	− 0.0021	− 0.7424	0.0023	0.3744	− 0.0176	− 3.5173
\({a}_{21}\)	− 0.1385	− 2.5515	0.0295	3.0785	− 0.2727	− 8.1326	− 0.1156	− 2.7230
\({a}_{22}\)	1.4851	28.0701	0.5221	19.4691	1.4821	24.8455	1.5163	24.9427
\({b}_{11}\)	0.9342	48.6790	0.8582	20.3909	0.9474	122.4117	0.9499	91.1389
\({b}_{12}\)	0.0057	2.5156	0.0035	2.7460	0.0021	0.4566	− 0.0065	− 0.9475
\({b}_{21}\)	0.0146	0.4557	− 0.0131	− 3.1776	0.1492	7.7747	0.0206	0.8913
\({b}_{22}\)	0.2276	6.5371	0.8832	114.0730	0.1998	4.4158	0.1970	6.1787

This table shows the relationships between risk factors and asset returns.\(\Delta CCI\),\(\Delta BTC\),\(\Delta WSPI\),\(\Delta WTI\),\(\Delta WEPI\),\(\Delta Gold\),\(\Delta GSCI\), and\(\Delta REITs\)respectively denote the return of cryptocurrency index, Bitcoin price, MSCI World SPI, 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.\(\Delta TC\)denotes the rate of change of total infected cases. Number in bold stands for significance at 5%

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