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

Log likelihood

2820.564

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

Chi2

6.41**

Lambda1

0.05*

[0.026]

Lambda2

0.295

[0.274]

Correlations

LTC

OIL

SP500

GOLD

USD

OIL

−0.002

[0.076]

SP500

0.014

0.215***

[0.076]

[0.073]