| Variables | XMR | OIL | SP500 | GOLD | USD | LIBOR | ||||
| Cons | 0.012 | 0.00004 | 0.002** | 0.0001 | 0.001 | 0.003*** | ||||
| [0.013] | [0.003] | [0.001] | [0.001] | [0.001] | [0.001] | |||||
| L1.ARCH | 0.164* | 0.086* | 0.228*** | 0.061 | 0.071* | 0.95*** | ||||
| [0.09] | [0.051] | [0.072] | [0.049] | [0.04] | [0.178] | |||||
| L1.GARCH | 0.109 | 0.784*** | 0.711*** | −0.792*** | 0.881*** | −0.005 | ||||
| [0.205] | [0.123] | [0.072] | [0.243] | [0.086] | [0.009] | |||||
| Cons ARCH | 0.024*** | 0.0003 | 0.00002* | 0.001*** | 0.00001 | 0.00006*** | ||||
| [0.007] | [0.0002] | [0.00001] | [0.0001] | [0.00001] | [0.00001] | |||||
| N | 203 |
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| Log likelihood | 2777.998 |
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| Test b[Adjustment:lambda1] = b[Adjustment:lambda2] = 0 | ||||||||||
| Chi2 | 6.11** |
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| Lambda1 | 0.054** |
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| [0.027] | ||||||||||
| Lambda2 | 0.257 |
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| [0.273] | ||||||||||
| Correlations | XMR | OIL | SP500 | GOLD | USD | |||||
| OIL | −0.084 |
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| [0.076] |
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| SP500 | −0.020 | 0.203*** |
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| [0.076] | [0.074] |
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| GOLD | 0.048 | 0.042 | −0.192*** |
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| [0.075] | [0.076] | [0.072] |
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| USD | −0.080 | −0.109 | 0.150** | −0.56*** |
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| [0.075] | [0.075] | [0.075] | [0.053] |
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| LIBOR | 0.064 | 0.008 | −0.024 | −0.114 | −0.014 | |||||
| [0.076] | [0.076] | [0.076] | [0.074] | [0.075] | ||||||