Panel A: | S&P 500 | NIKKEI 225 | ||||||||||
Spot | Futures | Spot | Futures | |||||||||
univariate | CARR | GARCH | CARR | GARCH | CARR | GARCH | CARR | GARCH | ||||
| 0.022 | 0.013 | 0.021 | 0.016 | 0.031 | 0.041 | 0.038 | 0.046 | ||||
| (0.006) | (0.006) | (0.005) | (0.007) | (0.008) | (0.011) | (0.009) | (0.012) | ||||
| 0.169 | 0.079 | 0.178 | 0.083 | 0.168 | 0.109 | 0.175 | 0.105 | ||||
| (0.013) | (0.012) | (0.013) | (0.012) | (0.020) | (0.020) | (0.020) | (0.018) | ||||
| 0.816 | 0.912 | 0.808 | 0.907 | 0.812 | 0.877 | 0.803 | 0.880 | ||||
| (0.014) | (0.011) | (0.014) | (0.011) | (0.022) | (0.019) | (0.023) | (0.017) | ||||
Panel B: | S&P 500 | NIKKEI 225 | ||||||||||
DCC | Range-based | Return-based | Range-based | Return-based | ||||||||
| 0.136 (0.010) | 0.015 (0.001) | 0.046 (0.002) | 0.039 (0.001) | ||||||||
| 0.229 (0.031) | 0.980 (0.002) | 0.945 (0.002) | 0.955 (0.002) | ||||||||