Variables

XLM

OIL

SP500

GOLD

USD

LIBOR

Cons

0.002

0.0003

0.002**

0.0001

0.001

0.003***

[0.011]

[0.003]

[0.001]

[0.001]

[0.001]

[0.001]

L1.ARCH

0.412***

0.086*

0.219***

0.062

0.073*

0.953***

[0.139]

[0.052]

[0.069]

[0.049]

[0.040]

[0.180]

L1.GARCH

0.566***

0.788***

0.726***

−0.794***

0.872***

−0.006

[0.115]

[0.123]

[0.071]

[0.237]

[0.087]

[0.008]

Cons ARCH

0.005**

0.000

0.00002*

0.001***

0.000006

0.00006***

[0.002]

[0.000]

[0.00001]

[0.0001]

[0.000007]

[0.000008]

N

203

Log likelihood

2769.843

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

Chi2

4.53

Lambda1

0.046*

[0.025]

Lambda2

0.228

[0.309]

Correlations

XLM

OIL

SP500

GOLD

USD

OIL

−0.049

[0.075]

SP500

0.136*

0.212***

[0.073]

[0.073]

GOLD

0.000

0.039

−0.194***

[0.075]

[0.075]

[0.071]

USD

−0.039

−0.114

0.145

−0.564***

[0.075]

[0.074]

[0.074]

[0.052]

LIBOR

−0.065

0.009

−0.018

−0.115

−0.018

[0.076]

[0.075]

[0.075]

[0.074]

[0.074]