ETFs and Indices | Codes | Spillover Effects of Return | Spillover Effects of Return Volatilities | Risk | Leverage | ||||||||||
GARCH-ARMA | EGARCH-ARMA | GARCH-ARMA | EGARCH-ARMA | GARCH-ARMA | EGARCH-ARMA | EGARCH-ARMA | |||||||||
Stock | ETF | Stock | ETF | Stock | ETF | Stock | ETF | Stock | ETF | Stock | ETF | Stock | ETF | ||
d | w | d | w | l | v | l | v | k | z | k | z | | δ | ||
High Yield ETFs and Stock Indices | DXJR/ NYA | −0.006 0.613 | −0.039 0.741 | −0.001 0.984 | 0.125 0.110 | −0.001 0.002 *** | 0.020 0.000 *** | −0.001 0.008 *** | −0.054 0.029 ** | 0.114 0.086 * | −0.02 0.921 | 0.228 0.001 ** | −0.066 0.222 | −0.121 0.000 *** | 0.126 0.000 *** |
GOEX/ NYA | −0.006 0.336 | 0.0397 0.664 | −0.002 0.726 | 0.127 0.163 | −0.001 0.8883 | 0.050 0.333 | −0.001 0.093 * | 0.0104 0.301 | 0.004 0.940 | 0.027 0.173 | 0.021 0.765 | −0.001 0.964 | −0.153 0.000 *** | −0.083 0.000 *** | |
AMZA/ NYA | 0.015 0.196 | 0.010 0.921 | 0.025 0.047 ** | 0.057 0.532 | −0.001 0.000 *** | 0.0009 0.987 | −0.001 0.512 | 0.007 0.005 *** | 0.104 0.021 ** | 0.016 0.328 | −0.037 0.525 | 0.006 0.675 | −0.125 0.000 *** | −0.080 0.000 *** | |
Low Yield ETFs and Stock Indices | SPLG/ NYA | −0.029 0.338 | 0.514 0.000 *** | −0.015 0.719 | 0.442 0.000 *** | −0.012 0.511 | 0.0001 0.7573 | −0.006 0.150 | −0.001 0.001 *** | 0.012 0.864 | 0.052 0.451 | 0.098 0.105 | 0.142 0.027 ** | −0.150 0.000 *** | −0.230 0.000 *** |
PGHY/ NYA | −0.098 0.078 * | 0.063 0.000 *** | −0.085 0.209 | 0.061 0.000 *** | 0.040 0.007 *** | 0.0001 0.942 | 0.025 0.163 | 0.0001 0.380 | 0.129 0.025 ** | 0.177 0.072 * | 0.094 0.134 | 0.232 0.021 ** | −0.130 0.000 *** | −0.006 0.495 | |
SHYG/ NYA | 0.234 0.012 ** | −0.001 0.9033 | 0.232 0.011 ** | −0.008 0.416 | 0.018 0.1418 | 0.0001 0.1612 | 0.056 0.002 *** | 0.0001 0.240 | −0.052 0.407 | 0.683 0.001 *** | 0.094 0.128 | 1.080 0.000 *** | −0.149 0.000 *** | −0.094 0.000 *** |