Financial Innovation

Table 5 The performance measures of the VAR-DCC-EGARCH model. (Period2: during 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	−0.117539	0.470901
β	0.822566	0.000000
γ	0.277905	0.401172
Gold
α	0.053620	0.463156
β	0.952850	0.000229
γ	0.123761	0.795716
NASDAQ
α	−0.080001	0.001766
β	0.991863	0.000000
γ	0.091731	0.006944
S&P500
α	−0.107562	0.021892
β	0.956191	0.000000
γ	0.354881	0.029305
DJIA
α	−0.112265	0.003497
β	0.972160	0.000000
γ	0.307395	0.016460
αDCC	0.040179	0.000472
βDCC	0.887776	0.000000

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