ETFs and indices

Spillover effects of returns

Spillover effects of volatilities

Risk effects

Leverage effects

GARCH-ARMA

EGARCH-ARMA

GARCH-ARMA

EGARCH-ARMA

EGARCH-ARMA

EGARCH-ARMA

Price

ETFs

Price

ETFs

Price

ETFs

Price

ETFs

Price

ETFs

Price

ETFs

d

w

d

w

l

v

l

v

k

z

δ

δ

Precious metal ETFs

GLD/

gold

9.951

0.008

9.970

0.009

15.755

0.00001

(0.177)

0.027

0.0002

0.005

(0.173)

0.037

(0.327)

−0.038

−0.115

(0.000)

***

(0.008)

***

(0.000)

***

(0.003)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

SLV/

silver

1.002

−0.017

(0.464)

1.003

−0.108

0.677

0.002

0.113

0.147

0.004

(0.244)

−0.682

−0.0003

(0.991)

0.004

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.009)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

PALL/

palladium

8.852

−0.006

(0.145)

8.794

−0.005

(0.126)

39.468

0.004

−0.042

(0.353)

−0.175

0.003

(0.979)

−0.313

(0.231)

−0.088

−0.262

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.003)

***

(0.000)

***

PTM/

platinum

30.631

0.0004

(0.668)

30.766

0.001

(0.322)

251.969

0.0000

(0.511)

0.146

0.00001

(0.633)

0.056

(0.504)

−0.359

−0.038

0.007

(0.711)

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.005)

**

(0.008)

***

Base metal ETFs

JJC/

copper

125.455

0.000

(0.903)

125.823

0.000

(0.755)

1222.941

0.000

0.048

0.000 (0.606)

−0.011

(0.932)

0.047

(0.694)

0.033

(0.834)

0.042

(0.747)

(0.000)

***

(0.000)

***

(0.012)

**

(0.094)

*

(0.010)

***

JJN/

nickel

143.739

0.001

8.685

(0.612)

0.001

9278.264

0.000

0.013

0.000

−0.092

(0.196)

−0.188

−0.120

(0.115)

−0.194

(0.000)

***

(0.000)

***

(0.000)

***

(0.001)

***

(0.000)

***

(0.003)

***

(0.085)

*

(0.005)

**

(0.048)

**

JJT/

tin

92.049

0.001

96.735

0.001

21437.49

0.001

0.045

0.000

−0.354

−0.140

(0.154)

−0.261

(0.068)*

−0.208

(0.155)

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.000)

***

(0.026)

**

LD/

lead

3.099

0.015

2.301

0.014

15.537

(0.176)

0.000

0.000

(0.943)

0.000

−0.118

(0.273)

−0.390

−0.013

(0.907)

−0.238

(0.018)

**

(0.000)

***

(0.081)

*

(0.000)

***

(0.002)

***

(0.000)

***

(0.099)

*

(0.107)

*