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) * |