Table 9 VCC and CCC MGARCH models VCC...

Table 9

VCC and CCC MGARCH models

	VCC			CCC
Index	ω	α	β	ω	α	β
SSE	0.0004	0.083***	0.904***	0.0004	0.080***	0.902***
MSCI China ESG leaders	0.0013***	0.054***	0.903***	0.0014***	0.055***	0.888***
MSCI AC Asia Pacific ESG leaders	0.0007***	0.075***	0.891***	0.0008***	0.079***	0.880***
BTC	−0.0006	0.323***	0.630***	−0.0006	0.326***	0.628***
WTI	0.0001	0.122***	0.869***	0.0001	0.125***	0.866***
GOLD	0.0003	0.058***	0.929***	0.0003	0.060***	0.926***

	VCC			CCC
Index	ω	α	β	ω	α	β
SSE	0.0004	0.083***	0.904***	0.0004	0.080***	0.902***
MSCI China ESG leaders	0.0013***	0.054***	0.903***	0.0014***	0.055***	0.888***
MSCI AC Asia Pacific ESG leaders	0.0007***	0.075***	0.891***	0.0008***	0.079***	0.880***
BTC	−0.0006	0.323***	0.630***	−0.0006	0.326***	0.628***
WTI	0.0001	0.122***	0.869***	0.0001	0.125***	0.866***
GOLD	0.0003	0.058***	0.929***	0.0003	0.060***	0.926***

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

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