Cons ARCH

0.006**

0.0003

0.00002*

0.001***

0.000004

0.0001***

[0.003]

[0.0002]

[0.00001]

[0.0001]

[0.00001]

[0.00001]

N

203

Log likelihood

2824.785

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

Chi2

8.44**

Lambda1

0.041

[0.025]

Lambda2

0.44

[0.327]

Correlations

DAS

OIL

SP500

GOLD

USD

OIL

0.007

[0.077]

SP500

0.070

0.211***

[0.076]

[0.074]

GOLD

0.072

0.039

−0.194***

[0.077]

[0.076]

[0.073]

USD

−0.195***

−0.112

0.146*

−0.555***

[0.074]

[0.075]

[0.076]

[0.054]

LIBOR

0.175**

0.004

−0.029

−0.125*

−0.008

[0.076]

[0.076]

[0.076]

[0.074]

[0.076]