Financial Innovation

Table 4 The performance measures of the VAR-DCC-EGARCH model (Period1: before the COVID-19 pandemic)

From: The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models

DCC-EGARCH model	Coefficient	P-value
BITCOIN
α	−0.021347	0.701798
β	0.834392	0.000000
γ	0.270791	0.001934
Gold
α	0.064145	0.015287
β	0.965953	0.000000
γ	0.101408	0.000000
NASDAQ
α	−0.233124	0.000000
β	0.940937	0.000000
γ	0.086818	0.000000
S&P500
α	−0.249003	0.000000
β	0.938520	0.000000
γ	0.140167	0.000000
DJIA
α	−0.233891	0.000000
β	0.935927	0.000000
γ	0.173234	0.001130
αDCC	0.054339	0.000000
βDCC	0.863522	0.000000

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