Variables | LTC | OIL | SP500 | GOLD | USD | LIBOR | |||
Cons | −0.003 | 0.0002 | 0.002** | 0.0001 | 0.001 | 0.003*** | |||
[0.010] | [0.003] | [0.001] | [0.001] | [0.001] | [0.001] | ||||
L1.ARCH | 0.457*** | 0.085* | 0.237*** | 0.063 | 0.074* | 0.950*** | |||
[0.170] | [0.051] | [0.074] | [0.049] | [0.040] | [0.179] | ||||
L1.GARCH | 0.181 | 0.788*** | 0.707*** | −0.792*** | 0.876*** | −0.005 | |||
[0.168] | [0.122] | [0.072] | [0.238] | [0.084] | [0.009] | ||||
Cons ARCH | 0.011*** | 0.0003 | 0.00002* | 0.001*** | 0.00001 | 0.00006*** | |||
[0.003] | [0.0002] | [0.00001] | [0.0001] | [0.00001] | [0.00001] | ||||
N | 203 |
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Log likelihood | 2820.564 |
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Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0 | |||||||||
Chi2 | 6.41** |
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Lambda1 | 0.05* |
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[0.026] | |||||||||
Lambda2 | 0.295 |
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[0.274] | |||||||||
Correlations | LTC | OIL | SP500 | GOLD | USD | ||||
OIL | −0.002 |
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[0.076] |
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SP500 | 0.014 | 0.215*** |
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[0.076] | [0.073] |
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