Table 4 Estimates of bivariate...

Table 4

Estimates of bivariate VAR-BEKK-GARCH for gold assets and Latin American equity markets during US financial crisis

	BRAZ	GOLD	CHIL	GOLD	MEXI	GOLD	PERU	GOLD
Panel A: Mean equation
Constant	0.001 [0.208]	0.001* [0.066]	0.000 [0.168]	0.001** [0.037]	0.000 [0.504]	0.001* [0.069]	−0.001 [0.147]	0.001 [0.105]
$r_{t - 1}^{S}$	0.000 [0.991]	0.108*** [0.000]	0.165*** [0.000]	0.054 [0.140]	0.033 [0.298]	0.067 [0.508]	0.174*** [0.000]	0.086*** [0.005]
$r_{t - 1}^{G}$	0.033 [0.484]	0.036 [0.290]	−0.013 [0.554]	0.038 [0.286]	0.014 [0.664]	0.026 [0.519]	−0.020 [0.460]	0.014 [0.673]
Panel B: Variance equation
Constant	0.001 [0.580]	0.000 [0.991]	0.001 [0.230]	0.001*** [0.000]	−0.001*** [0.000]	0.001 [0.268]	0.003*** [0.000]	0.001 [0.822]
${(e_{t - 1}^{S})}^{2}$	0.043 [0.289]	−0.069*** [0.000]	0.089 [0.548]	−0.078*** [0.001]	0.065 [0.439]	−0.104** [0.018]	0.180 [0.200]	−0.047* [0.075]
${(e_{t - 1}^{G})}^{2}$	−0.201*** [0.000]	0.105*** [0.002]	−0.137*** [0.000]	0.196*** [0.000]	0.011 [0.867]	0.221*** [0.000]	−0.097 [0.189]	0.167*** [0.009]
$h_{t - 1}^{S}$	0.947*** [0.000]	−0.021*** [0.000]	0.920*** [0.000]	−0.022* [0.062]	0.960*** [0.000]	0.011 [0.509]	0.903*** [0.000]	0.014 [0.127]
$h_{t - 1}^{G}$	0.084*** [0.000]	0.975*** [0.000]	0.041*** [0.000]	0.968*** [0.000]	−0.011 [0.693]	0.960*** [0.000]	−0.015 [0.425]	0.975*** [0.000]
Panel D: Diagnostic tests
LogL	4214.10		4671.97		4425.18		4316.34
AIC	−10.062		−11.228		−10.630		−10.372
SIC	−9.574		−10.740		−10.142		−9.884
Q[12]	16.385 [0.692]	15.196 [0.765]	7.756 [0.993]	16.072 [0.712]	15.775 [0.730]	15.133 [0.768]	16.502 [0.685]	15.669 [0.736]
Q²[12]	28.156 [0.105]	25.419 [0.185]	17.911 [0.593]	24.793 [0.209]	29.011 [0.187]	24.297 [0.229]	12.946 [0.879]	27.349 [0.125]

	BRAZ	GOLD	CHIL	GOLD	MEXI	GOLD	PERU	GOLD
Panel A: Mean equation
Constant	0.001 [0.208]	0.001* [0.066]	0.000 [0.168]	0.001** [0.037]	0.000 [0.504]	0.001* [0.069]	−0.001 [0.147]	0.001 [0.105]
$r_{t - 1}^{S}$	0.000 [0.991]	0.108*** [0.000]	0.165*** [0.000]	0.054 [0.140]	0.033 [0.298]	0.067 [0.508]	0.174*** [0.000]	0.086*** [0.005]
$r_{t - 1}^{G}$	0.033 [0.484]	0.036 [0.290]	−0.013 [0.554]	0.038 [0.286]	0.014 [0.664]	0.026 [0.519]	−0.020 [0.460]	0.014 [0.673]
Panel B: Variance equation
Constant	0.001 [0.580]	0.000 [0.991]	0.001 [0.230]	0.001*** [0.000]	−0.001*** [0.000]	0.001 [0.268]	0.003*** [0.000]	0.001 [0.822]
${(e_{t - 1}^{S})}^{2}$	0.043 [0.289]	−0.069*** [0.000]	0.089 [0.548]	−0.078*** [0.001]	0.065 [0.439]	−0.104** [0.018]	0.180 [0.200]	−0.047* [0.075]
${(e_{t - 1}^{G})}^{2}$	−0.201*** [0.000]	0.105*** [0.002]	−0.137*** [0.000]	0.196*** [0.000]	0.011 [0.867]	0.221*** [0.000]	−0.097 [0.189]	0.167*** [0.009]
$h_{t - 1}^{S}$	0.947*** [0.000]	−0.021*** [0.000]	0.920*** [0.000]	−0.022* [0.062]	0.960*** [0.000]	0.011 [0.509]	0.903*** [0.000]	0.014 [0.127]
$h_{t - 1}^{G}$	0.084*** [0.000]	0.975*** [0.000]	0.041*** [0.000]	0.968*** [0.000]	−0.011 [0.693]	0.960*** [0.000]	−0.015 [0.425]	0.975*** [0.000]
Panel D: Diagnostic tests
LogL	4214.10		4671.97		4425.18		4316.34
AIC	−10.062		−11.228		−10.630		−10.372
SIC	−9.574		−10.740		−10.142		−9.884
Q[12]	16.385 [0.692]	15.196 [0.765]	7.756 [0.993]	16.072 [0.712]	15.775 [0.730]	15.133 [0.768]	16.502 [0.685]	15.669 [0.736]
Q²[12]	28.156 [0.105]	25.419 [0.185]	17.911 [0.593]	24.793 [0.209]	29.011 [0.187]	24.297 [0.229]	12.946 [0.879]	27.349 [0.125]

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

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