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

Log likelihood

2905.324

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

Chi2

5.52*

Lambda1

0.0402

[0.025]

Lambda2

0.330

[0.278]

Correlations

BTC

OIL

SP500

GOLD

USD

OIL

0.002

[0.074]

SP500

0.050

[0.074]

0.212***

[0.073]

GOLD

−0.015

[0.075]

0.039

[0.075]

−0.189***

[0.072]

USD

−0.048

[0.075]

−0.115

[0.074]

0.139*

[0.075]

0.556***

[0.052]

LIBOR

0.076

[0.075]

0.01

[0.076]

−0.019

[0.075]

−0.117

[0.074]

−0.014

[0.075]