Variables

BCN

OIL

SP500

GOLD

USD

LIBOR

Cons

0.029**

0.0001

0.002**

−0.0001

0.001

0.003***

[0.014]

[0.003]

[0.001]

[0.001]

[0.001]

[0.001]

L1.ARCH

0.308*

0.083*

0.221***

0.069

0.07*

0.928***

[0.159]

[0.05]

[0.07]

[0.052]

[0.041]

[0.176]

L1.GARCH

0.566***

0.789***

0.72***

−0.769***

0.88***

−0.012***

[0.146]

[0.122]

[0.071]

[0.264]

[0.088]

[0.004]

Cons ARCH

0.011**

0.0003

0.00002*

0.001***

0.00001

0.0001***

[0.005]

[0.0002]

[0.00001]

[0.0001]

[0.00001]

[0.00001]

N

203

Log likelihood

2731.926

Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0

Chi2

5.83*

Lambda1

0.035