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)