Table 4. Estimated coefficients for the... | Emerald Publishing

Table 4.

Estimated coefficients for the DCC-X specifications (equation (7)). robust standard errors (White, 1980) are reported in parentheses. Sample period: January 2, 2015 – april 30, 2025

Coefficient	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$
March 21, 2018
$θ_{1}$	0.0453 (0.0048)	0.0473 (0.0050)	0.0453 (0.0050)
$θ_{2}$	0.9292 (0.0091)	0.9300 (0.0093)	0.9305 (0.0093)
$θ_{3}$	0.0856 (0.0215)	0.0087 (0.0038)	0.1023 (0.0312)
$δ$	−0.0680 (0.0206)	−0.0068 (0.0042)	−0.0751 (0.0315)
May 10, 2019
$θ_{1}$	0.0468 (0.0048)	0.0479 (0.0050)	0.0469 (0.0049)
$θ_{2}$	0.9281 (0.0090)	0.9295 (0.0091)	0.9286 (0.0093)
$θ_{3}$	0.0534 (0.0168)	0.0070 (0.0027)	0.0485 (0.0198)
$δ$	−0.0403 (0.0166)	−0.0072 (0.0033)	−0.0226 (0.0205)

Coefficient	$D C C - X_{T P U}$	$D C C - X_{D u m m y}$	$D C C - X_{T P U \times D u m m y}$
March 21, 2018
$θ_{1}$	0.0453 (0.0048)	0.0473 (0.0050)	0.0453 (0.0050)
$θ_{2}$	0.9292 (0.0091)	0.9300 (0.0093)	0.9305 (0.0093)
$θ_{3}$	0.0856 (0.0215)	0.0087 (0.0038)	0.1023 (0.0312)
$δ$	−0.0680 (0.0206)	−0.0068 (0.0042)	−0.0751 (0.0315)
May 10, 2019
$θ_{1}$	0.0468 (0.0048)	0.0479 (0.0050)	0.0469 (0.0049)
$θ_{2}$	0.9281 (0.0090)	0.9295 (0.0091)	0.9286 (0.0093)
$θ_{3}$	0.0534 (0.0168)	0.0070 (0.0027)	0.0485 (0.0198)
$δ$	−0.0403 (0.0166)	−0.0072 (0.0033)	−0.0226 (0.0205)