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 |
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Log likelihood | 2731.926 |
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Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0 | ||||||
Chi2 | 5.83* |
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Lambda1 | 0.035 |
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