Table 5 Time-varying canonical... | Emerald Publishing

Table 5

Time-varying canonical cointegration model for gold price and exchange rate

Coefficients	Gold prices		Exchange rates
Coefficients	Estimates	t-value	Estimates	t-value
τ	0.79625	0.1036	108.2861^*1	39.2685
β	0.01393^*1	3.2567	−0.00824^*1	−5.4148
γ	0.30922	1.4187	−0.18964^*1	−2.4138
ξ	0.11693	1.1105	−0.00331	−0.0874
Time-varying parameter estimates α_t
λ₀	0.00482	0.53	−0.00156	−0.4741
λ₁: $(t / T)$	0.0171	0.8535	−0.00761	−1.0536
λ₂: ${(t / T)}^{2}$	−0.00611	−0.4789	0.00728	1.5734
λ₃: $\cos [2 π (t / T)]$	−0.00367^*1	−3.4	0.00028	0.7213
λ₄: $\sin [2 π (t / T)]$	0.00039	0.817	0.00039^*1	2.2371
λ₅: $\cos [4 π (t / T)]$	−0.00043	−1.624	−2.7155e-05	−0.2812
λ₆: $\sin [4 π (t / T)]$	0.00075^*1	3.3673	−0.00013	−1.5889
Long-run variances of the CCR errors
ω²	0.0111		0.0017

Coefficients	Gold prices		Exchange rates
Coefficients	Estimates	t-value	Estimates	t-value
τ	0.79625	0.1036	108.2861^*1	39.2685
β	0.01393^*1	3.2567	−0.00824^*1	−5.4148
γ	0.30922	1.4187	−0.18964^*1	−2.4138
ξ	0.11693	1.1105	−0.00331	−0.0874
Time-varying parameter estimates α_t
λ₀	0.00482	0.53	−0.00156	−0.4741
λ₁: $(t / T)$	0.0171	0.8535	−0.00761	−1.0536
λ₂: ${(t / T)}^{2}$	−0.00611	−0.4789	0.00728	1.5734
λ₃: $\cos [2 π (t / T)]$	−0.00367^*1	−3.4	0.00028	0.7213
λ₄: $\sin [2 π (t / T)]$	0.00039	0.817	0.00039^*1	2.2371
λ₅: $\cos [4 π (t / T)]$	−0.00043	−1.624	−2.7155e-05	−0.2812
λ₆: $\sin [4 π (t / T)]$	0.00075^*1	3.3673	−0.00013	−1.5889
Long-run variances of the CCR errors
ω²	0.0111		0.0017

Note(s): *1 denotes the significance at the 1% level of Z_t value