Variables

DAS

OIL

SP500

GOLD

USD

LIBOR

Cons

0.008

0.0002

0.002**

0.0001

0.0007

0.002***

[0.011]

[0.003]

[0.001]

[0.001]

[0.001]

[0.001]

L1.ARCH

0.200**

0.088*

0.239***

0.061

0.065*

0.929***

[0.091]

[0.052]

[0.074]

[0.05]

[0.038]

[0.174]

L1.GARCH

0.551***

0.782***

0.71***

−0.793***

0.897***

−0.005

[0.154]

[0.123]

[0.071]

[0.24]

[0.076]

[0.009]