Table 2. Estimated coefficients for the...

Table 2.

Estimated coefficients for the GJR model (panel a) and the DCC-X specifications (panel b). robust standard errors (White, 1980) are reported in parentheses. Ljung–box p-values (Ljung and Box, 1978) for first-order residual autocorrelation are reported in panel c. Sample period: January 2, 2015 – april 30, 2025

Panel a)	$S & P 500$	$D o w J o n e s$	Nasdaq	$R u s s e l l 2000$	$T - b i l l$
$ω$	0.0408 (0.0097)	0.0400 (0.0088)	0.0473 (0.0162)	0.0451 (0.0162)	0.0000 (0.0000)
$α$	0.0502 (0.0327)	0.0484 (0.0261)	0.0206 (0.0195)	0.0410 (0.0145)	0.1617(0.0073)
$β$	0.8029 (0.0309)	0.8032 (0.0300)	0.8671 (0.0315)	0.8794 (0.0244)	0.8520(0.0041)
$γ$	0.2412 (0.0503)	0.2326 (0.0422)	0.1699 (0.0478)	0.1145 (0.0273)	0.0535 (0.0100)
Panel b)	DCC	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$	$D C C - X_{F u l l}$
$θ_{1}$	0.0486 (0.0051)	0.0464 (0.0049)	0.0479 (0.0050)	0.0466 (0.0050)	0.0454 (0.0051)
$θ_{2}$	0.9294 (0.0092)	0.9292 (0.0094)	0.9282 (0.0093)	0.9289 (0.0095)	0.9297 (0.0095)
$θ_{3}$		0.0250 (0.0092)	0.0040 (0.0019)	0.0347 (0.0113)	0.0042 (0.0145)
$θ_{4}$					−0.0026 (0.0027)
$θ_{5}$					0.0421 (0.0209)
AIC	−2511.02	−2530.04	−2519.97	−2534.70	−2532.54
BIC	−2499.30	−2512.46	−2502.39	−2517.11	−2503.23
LR		21.02	10.95	25.68	27.52
		0.00	0.00	0.00	0.00
Panel c)	Ljung–box p-values for first-order residual autocorrelation
$S & P 500$	0.426	0.426	0.426	0.426	0.426
$D o w J o n e s$	0.001	0.001	0.001	0.001	0.001
Nasdaq	0.390	0.403	0.413	0.418	0.412
$R u s s e l l 2000$	0.894	0.904	0.874	0.890	0.905
T--bill	0.028	0.027	0.028	0.027	0.027

Panel a)	$S & P 500$	$D o w J o n e s$	Nasdaq	$R u s s e l l 2000$	$T - b i l l$
$ω$	0.0408 (0.0097)	0.0400 (0.0088)	0.0473 (0.0162)	0.0451 (0.0162)	0.0000 (0.0000)
$α$	0.0502 (0.0327)	0.0484 (0.0261)	0.0206 (0.0195)	0.0410 (0.0145)	0.1617(0.0073)
$β$	0.8029 (0.0309)	0.8032 (0.0300)	0.8671 (0.0315)	0.8794 (0.0244)	0.8520(0.0041)
$γ$	0.2412 (0.0503)	0.2326 (0.0422)	0.1699 (0.0478)	0.1145 (0.0273)	0.0535 (0.0100)
Panel b)	DCC	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$	$D C C - X_{F u l l}$
$θ_{1}$	0.0486 (0.0051)	0.0464 (0.0049)	0.0479 (0.0050)	0.0466 (0.0050)	0.0454 (0.0051)
$θ_{2}$	0.9294 (0.0092)	0.9292 (0.0094)	0.9282 (0.0093)	0.9289 (0.0095)	0.9297 (0.0095)
$θ_{3}$		0.0250 (0.0092)	0.0040 (0.0019)	0.0347 (0.0113)	0.0042 (0.0145)
$θ_{4}$					−0.0026 (0.0027)
$θ_{5}$					0.0421 (0.0209)
AIC	−2511.02	−2530.04	−2519.97	−2534.70	−2532.54
BIC	−2499.30	−2512.46	−2502.39	−2517.11	−2503.23
LR		21.02	10.95	25.68	27.52
		0.00	0.00	0.00	0.00
Panel c)	Ljung–box p-values for first-order residual autocorrelation
$S & P 500$	0.426	0.426	0.426	0.426	0.426
$D o w J o n e s$	0.001	0.001	0.001	0.001	0.001
Nasdaq	0.390	0.403	0.413	0.418	0.412
$R u s s e l l 2000$	0.894	0.904	0.874	0.890	0.905
T--bill	0.028	0.027	0.028	0.027	0.027

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