Table 6 DCC GARCH model for ESG index...

Table 6

DCC GARCH model for ESG index components

Index	ω	α	β
SSE	0.0002	0.091***	0.909***
SSE SUS	0.0004	0.085***	0.863***
SSE ENV	0.0002	0.084***	0.843***
SSE CG	0.0005*	0.101***	0.843***
BTC	−0.0008	0.330***	0.629***
WTI	−0.0005	0.131***	0.861***
GOLD	0.0001	0.060***	0.928***

Index	ω	α	β
SSE	0.0002	0.091***	0.909***
SSE SUS	0.0004	0.085***	0.863***
SSE ENV	0.0002	0.084***	0.843***
SSE CG	0.0005*	0.101***	0.843***
BTC	−0.0008	0.330***	0.629***
WTI	−0.0005	0.131***	0.861***
GOLD	0.0001	0.060***	0.928***

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

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