L1.ARCH | 0.168** [0.071] | 0.084* [0.051] | 0.227*** [0.072] | 0.060 [0.048] | 0.07* [0.0403] | 0.957*** [0.180] | |||||
L1.GARCH | 0.776*** [0.071] | 0.786*** [0.123] | 0.712*** [0.072] | −0.798*** [0.227] | 0.881*** [0.087] | −0.005 [0009] | |||||
Cons ARCH | 0.001** [0.0003] | 0.0003 [0.0002] | 0.00002* [0.00001] | 0.006*** [0.0001] | 0.000005 [0.000007] | 0.00006*** [0.000008] | |||||
N | 203 |
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Log likelihood | 2905.324 |
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Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0 | |||||||||||
Chi2 | 5.52* |
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Lambda1 | 0.0402 [0.025] |
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Lambda2 | 0.330 [0.278] |
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Correlations | BTC | OIL | SP500 | GOLD | USD | ||||||
OIL | 0.002 [0.074] |
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SP500 | 0.050 [0.074] | 0.212*** [0.073] |
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GOLD | −0.015 [0.075] | 0.039 [0.075] | −0.189*** [0.072] |
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USD | −0.048 [0.075] | −0.115 [0.074] | 0.139* [0.075] | 0.556*** [0.052] |
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LIBOR | 0.076 [0.075] | 0.01 [0.076] | −0.019 [0.075] | −0.117 [0.074] | −0.014 [0.075] | ||||||