Table 3 Estimates of bivariate...

Table 3

Estimates of bivariate VAR-BEKK-GARCH for gold assets and Latin American markets during full-sample period

	BRAZ	GOLD	CHIL	GOLD	MEXI	GOLD	PERU	GOLD
Panel A: Mean equation
Constant	0.000 [0.241]	0.000* [0.061]	0.001*** [0.006]	0.000* [0.095]	0.001* [0.079]	0.000 [0.132]	0.001*** [0.000]	0.000 [0.122]
$r_{t - 1}^{S}$	0.009 [0.598]	0.044*** [0.000]	0.175*** [0.000]	0.030* [0.096]	0.074*** [0.000]	0.045*** [0.000]	0.176*** [0.000]	0.104*** [0.000]
$r_{t - 1}^{G}$	0.003 [0.900]	0.002 [0.914]	0.003 [0.790]	−0.001 [0.961]	0.009*** [0.000]	0.001 [0.940]	0.007 [0.486]	−0.014 [0.442]
Panel B: Variance equation
Constant	0.003*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]
${(e_{t - 1}^{S})}^{2}$	0.111*** [0.000]	0.022 [0.210]	0.201*** [0.000]	0.017 [0.635]	0.089*** [0.000]	0.056** [0.041]	0.284*** [0.000]	0.035 [0.105]
${(e_{t - 1}^{G})}^{2}$	−0.039* [0.089]	0.211*** [0.000]	−0.047*** [0.003]	0.209*** [0.000]	−0.051*** [0.004]	0.226*** [0.000]	−0.091*** [0.000]	0.178*** [0.000]
$h_{t - 1}^{S}$	0.957*** [0.000]	0.002 [0.471]	0.927*** [0.000]	0.000 [0.916]	0.963*** [0.000]	0.000 [0.980]	0.923*** [0.000]	0.012** [0.019]
$h_{t - 1}^{G}$	0.014* [0.060]	0.970*** [0.000]	0.014*** [0.004]	0.970*** [0.000]	0.018*** [0.000]	0.964*** [0.000]	0.022** [0.016]	0.977*** [0.000]
Panel D: Diagnostic tests
LogL	28294.7		31417.05		30328.38		30426.09
AIC	−11.224		−12.582		−12.054		−11.972
SIC	−11.118		−12.472		−11.938		−11.861
Q[12]	29.859* [0.072]	15.079 [0.771]	18.218 [0.573]	14.519 [0.803]	21.363 [0.375]	15.078 [0.771]	79.404*** [0.000]	15.437 [0.750]
Q²[12]	18.611 [0.547]	10.835 [0.950]	14.272 [0.816]	11.369 [0.936]	11.596 [0.929]	9.468 [0.976]	20.815 [0.408]	14.156 [0.822]

	BRAZ	GOLD	CHIL	GOLD	MEXI	GOLD	PERU	GOLD
Panel A: Mean equation
Constant	0.000 [0.241]	0.000* [0.061]	0.001*** [0.006]	0.000* [0.095]	0.001* [0.079]	0.000 [0.132]	0.001*** [0.000]	0.000 [0.122]
$r_{t - 1}^{S}$	0.009 [0.598]	0.044*** [0.000]	0.175*** [0.000]	0.030* [0.096]	0.074*** [0.000]	0.045*** [0.000]	0.176*** [0.000]	0.104*** [0.000]
$r_{t - 1}^{G}$	0.003 [0.900]	0.002 [0.914]	0.003 [0.790]	−0.001 [0.961]	0.009*** [0.000]	0.001 [0.940]	0.007 [0.486]	−0.014 [0.442]
Panel B: Variance equation
Constant	0.003*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]	0.001*** [0.000]
${(e_{t - 1}^{S})}^{2}$	0.111*** [0.000]	0.022 [0.210]	0.201*** [0.000]	0.017 [0.635]	0.089*** [0.000]	0.056** [0.041]	0.284*** [0.000]	0.035 [0.105]
${(e_{t - 1}^{G})}^{2}$	−0.039* [0.089]	0.211*** [0.000]	−0.047*** [0.003]	0.209*** [0.000]	−0.051*** [0.004]	0.226*** [0.000]	−0.091*** [0.000]	0.178*** [0.000]
$h_{t - 1}^{S}$	0.957*** [0.000]	0.002 [0.471]	0.927*** [0.000]	0.000 [0.916]	0.963*** [0.000]	0.000 [0.980]	0.923*** [0.000]	0.012** [0.019]
$h_{t - 1}^{G}$	0.014* [0.060]	0.970*** [0.000]	0.014*** [0.004]	0.970*** [0.000]	0.018*** [0.000]	0.964*** [0.000]	0.022** [0.016]	0.977*** [0.000]
Panel D: Diagnostic tests
LogL	28294.7		31417.05		30328.38		30426.09
AIC	−11.224		−12.582		−12.054		−11.972
SIC	−11.118		−12.472		−11.938		−11.861
Q[12]	29.859* [0.072]	15.079 [0.771]	18.218 [0.573]	14.519 [0.803]	21.363 [0.375]	15.078 [0.771]	79.404*** [0.000]	15.437 [0.750]
Q²[12]	18.611 [0.547]	10.835 [0.950]	14.272 [0.816]	11.369 [0.936]	11.596 [0.929]	9.468 [0.976]	20.815 [0.408]	14.156 [0.822]

Note(s): “AIC and SIC criteria are used to identify the number of lags for VAR. Q(12) and Q²(12) are the Ljung–Box Q statistics of order 12 for autocorrelation applied to the standardized and squared standardized residuals respectively. BRAZ, Brazil; CHIL, Chile; MEXI, Mexico. For brevity, one constant coefficient of variance equation is not reported. p-values are shown in the parentheses. ^*, ^**, ^*** indicate the statistical significance at 1, 5 and 10% respectively”

Source(s): Own elaboration

[ViewLarge]

Sharing Unavailable