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

Log likelihood

2777.998

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

Chi2

6.11**

Lambda1

0.054**

[0.027]

Lambda2

0.257

[0.273]

Correlations

XMR

OIL

SP500

GOLD

USD

OIL

−0.084

[0.076]

SP500

−0.020

0.203***

[0.076]

[0.074]

GOLD

0.048

0.042

−0.192***

[0.075]

[0.076]

[0.072]

USD

−0.080

−0.109

0.150**

−0.56***

[0.075]

[0.075]

[0.075]

[0.053]

LIBOR

0.064

0.008

−0.024

−0.114

−0.014

[0.076]

[0.076]

[0.076]

[0.074]

[0.075]