Table 30 Estimates of conditional mean VAR-DCC-GARCH model (period 1)
Gold | S&P500 | Dow Jones | Bitcoin | Nasdaq |
|---|---|---|---|---|
\({\Phi }_{1}\) | ||||
\({\Phi }_{11}\) 0.065 (0.151) | \({\Phi }_{21}\) 0.051 (0.429) | \({\Phi }_{31}\) 0.066 (0.322) | \({\Phi }_{41}\) −0.330 (0.307) | \({\Phi }_{51}\) 0.042 (0.597) |
\({\Phi }_{2}\) | ||||
\({\Phi }_{12}\) −0.097 (0.678) | \({\Phi }_{22}\) 0.032 (0.923) | \({\Phi }_{32}\) 0.103 (0.763) | \({\Phi }_{42}\) 0.855 (0.607) | \({\Phi }_{52}\) −0.110 (0.786) |
\({\Phi }_{3}\) | ||||
\({\Phi }_{13}\) −0.160 (0.250) | \({\Phi }_{23}\) −0.122 (0.538) | \({\Phi }_{33}\) −0.165 (0.418) | \({\Phi }_{43}\) 0.169 (0.864) | \({\Phi }_{53}\) −0.071 (0.769) |
\({\Phi }_{14}\) −0.002 (0.721) | \({\Phi }_{24}\) 0.014 (0.122) | \({\Phi }_{34}\) 0.010 (0.288) | \({\Phi }_{44}\) −0.049 (0.282) | \({\Phi }_{54}\) 0.016 (0.148) |
\({\Phi }_{5}\) | ||||
\({\Phi }_{15}\) 0.170 (0.113) | \({\Phi }_{25}\) 0.043 (0.781) | \({\Phi }_{35}\) 0.030 (0.847) | \({\Phi }_{45}\) −0.614 (0.423) | \({\Phi }_{55}\) 0.089 (0.636) |
µ | ||||
0.000 (0.370) | 0.000 (0.402) | 0.000 (0.554) | −0.002 (0.475) | 0.001 (0.334) |