Table 4 DCC GARCH model Index ω α β SSE...

Table 4

DCC GARCH model

Index	ω	α	β
SSE	0.0004*	0.084***	0.902***
MSCI China ESG leaders	0.0012***	0.057***	0.896***
MSCI AC Asia Pacific ESG leaders	0.0008***	0.079***	0.887***
BTC	−0.0007	0.322***	0.631***
WTI	0.0001	0.120***	0.869***
GOLD	0.0002	0.058***	0.920***

Index	ω	α	β
SSE	0.0004*	0.084***	0.902***
MSCI China ESG leaders	0.0012***	0.057***	0.896***
MSCI AC Asia Pacific ESG leaders	0.0008***	0.079***	0.887***
BTC	−0.0007	0.322***	0.631***
WTI	0.0001	0.120***	0.869***
GOLD	0.0002	0.058***	0.920***

Note(s): This table reports parameters estimates and log-likelihood values for the Dynamic Conditional Correlation (DCC) MGARCH model. Significance codes: *** express significance at the 0.99 level, ** at 0.95, * at 0.90

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