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] |