Table 3 Estimate parameters of GARCH... | Emerald Publishing

Table 3

Estimate parameters of GARCH models

	SP500	SSE	Bitcoin	Ether	Tether	TrueUSD	Gold
Mean equation
a₀	−0.0007^**	0.0005	0.0032^**	0.0047^***	2.04^{10–6 ***}	3.27^10–7	0.0007^***
a₁	−0.0837^*	–	–	−0.9917^***	0.7296^***	0.6549^***	−0.9958^***
b₁	–	–	–	0.9950^***	−0.9821^***	−0.9816^***	0.9959***
b₂	0.09***	–	–	–	–	–	–
b₅	–	−0.07634^**	–	–	–	–	–
b₇	–	–	0.07596^*	–	–	–	–
Conditional variance equation
C₀	4.73^{10–6 ***}	7.98^10–6***	0.0003^***	0.0004^***	9.74^10–9	1.48^10–8*	2.18^10–6***
α₁	0.1561***	0.1055***	0.1797***	0.1214***	0.2249***	0.3151***	0.1204***
γ₁	0.2356***	–	–	–	–		−0.1552***
β₁	0.7378***	0.8442***	0.6850***	0.8022***	0.7705***	0.6807***	0.8766***

	SP500	SSE	Bitcoin	Ether	Tether	TrueUSD	Gold
Mean equation
a₀	−0.0007^**	0.0005	0.0032^**	0.0047^***	2.04^{10–6 ***}	3.27^10–7	0.0007^***
a₁	−0.0837^*	–	–	−0.9917^***	0.7296^***	0.6549^***	−0.9958^***
b₁	–	–	–	0.9950^***	−0.9821^***	−0.9816^***	0.9959***
b₂	0.09***	–	–	–	–	–	–
b₅	–	−0.07634^**	–	–	–	–	–
b₇	–	–	0.07596^*	–	–	–	–
Conditional variance equation
C₀	4.73^{10–6 ***}	7.98^10–6***	0.0003^***	0.0004^***	9.74^10–9	1.48^10–8*	2.18^10–6***
α₁	0.1561***	0.1055***	0.1797***	0.1214***	0.2249***	0.3151***	0.1204***
γ₁	0.2356***	–	–	–	–		−0.1552***
β₁	0.7378***	0.8442***	0.6850***	0.8022***	0.7705***	0.6807***	0.8766***

Note(s): ***, ** and * denote significance at 1, 5 and 10% level, respectively