Table 31 Estimates of conditional mean VAR-DCC-GARCH model (period 2)
Gold | S&P500 | Dow Jones | Bitcoin | Nasdaq |
|---|---|---|---|---|
\({\Phi }_{1}\) | ||||
\({\Phi }_{11}\) 0.080* (0.091) | \({\Phi }_{21}\) 0.039 (0.597) | \({\Phi }_{31}\) 0.092 (0.238) | \({\Phi }_{41}\) 0.152 (0.507) | \({\Phi }_{51}\) 0.019 (0.809) |
\({\Phi }_{2}\) | ||||
\({\Phi }_{12}\) −0.367 (0.209) | \({\Phi }_{22}\) −0.666 (0.143) | \({\Phi }_{32}\) −0.960** (0.046) | \({\Phi }_{42}\) −0.417 (0.769) | \({\Phi }_{52}\) −0.552 (0.259) |
\({\Phi }_{3}\) | ||||
\({\Phi }_{13}\) 0.086 (0.633) | \({\Phi }_{23}\) 0.240 (0.393) | \({\Phi }_{33}\) 0.387 (0.193) | \({\Phi }_{43}\) 0.458 (0.603) | \({\Phi }_{53}\) 0.123 (0.684) |
\({\Phi }_{4}\) | ||||
\({\Phi }_{14}\) 0.026** (0.012) | \({\Phi }_{24}\) −0.030* (0.067) | \({\Phi }_{34}\) −0.028 (0.100) | \({\Phi }_{44}\) −0.108 ** (0.032) | \({\Phi }_{54}\) −0.030* (0.079) |
\({\Phi }_{5}\) | ||||
\({\Phi }_{15}\) 0.288** (0.019) | \({\Phi }_{25}\) 0.126 (0.509) | \({\Phi }_{35}\) 0.256 (0.206) | \({\Phi }_{45}\) −0.071 (0.905) | \({\Phi }_{55}\) 0.098 (0.632) |
µ | ||||
0.000 (0.846) | 0.001 (0.161) | 0.001 (0.336) | 0.006** (0.021) | 0.002* (0.070) |