Financial Innovation

Table 2 Estimation results for DCC-GARCH model

From: Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network

	XAU	JPN	SPX	UK	CHN	DEU	CAC
Panel A: The entire period
omega	0.004401	0.008224	0.000961	0.002213	0.004594	0.009263	0.001036
alpha1	0.000000	0.000000	0.000000	0.000000	0.000000	0.000000	0.000000
beta1	0.995525	0.991995	0.999000	0.997757	0.995351	0.990968	0.999000
dcca1	0.000172	0.000671	0.003893	0.000000	0.000000	0.005089	0.004872
dccb1	0.973548***	0.994093***	0.978700***	0.915061***	0.925486***	0.971512***	0.983465***
Panel B: Pre COVID-19
omega	0.000001	0.000007	0.000005	0.000005	0.000001	0.000002	0.000004
alpha1	0.039868	0.156515	0.236659	0.186385	0.057204	0.075542	0.115374
beta1	0.951317	0.812143	0.726104	0.764684	0.939533	0.907207	0.862554
dcca1	0.010173	0.003083	0.003784	0.764684	0.001801	0.005254	0.002650
dccb1	0.942313***	0.987478***	0.975360***	0.982598***	0.987014***	0.974355***	0.979150***
Panel C: During COVID-19
omega	0.000009	0.000014	0.000007	0.000007	0.000038	0.000009	0.000011
alpha1	0.102585	0.134884	0.211719	0.202472	0.208013	0.176419	0.177001
beta1	0.812815	0.787048	0.751386	0.755889	0.634885	0.790760	0.777446
dcca1	0.015464**	0.009739	0.007577	0.008072	0.015343*	0.024397	0.013131
dccb1	0.976834***	0.962922***	0.979842***	0.977587***	0.973207***	0.663379***	0.935435***

Our data consists of 2,958 daily observations from January 2, 2011, to June 2, 2022, and divided into two sub-samples. The first sub-sample covers the period from January 2, 2011, to February 23, 2020, which is pre-COVID-19. The second sub-sample covers the period from February 24, 2020, to June 2, 2022, which is during COVID-19
***indicate statistical significance at the 1% level
**indicate statistical significance at the 5% level
*indicate statistical significance at the 10% level. This Table shows a long-term volatility contagion between Bitcoin, gold, and the six stock markets during the entire study period (across the three Panels above). There is two short-term volatility contagion between Bitcoin and gold: and between Bitcoin and the Chinese stock market during COVID-19 (i.e., Panel C)

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