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

***