Research Article
Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets
Table 6
Granger causality result between gold and stock index.
| Node | Mean | SD | MC error | 2.50% | 5.00% | 10.00% | Median | 97.50% | is it significant |
| | 0.09419 | 0.04693 | 0.00181 | 0.02231 | 0.03025 | 0.04032 | 0.08754 | 0.204 | Significant | | 0.04243 | 0.03532 | 0.00115 | −0.02026 | −0.01088 | −1.39E-04 | 0.03992 | 0.1196 | Not significant | | 0.1075 | 0.05273 | 0.00210 | 0.02767 | 0.03588 | 0.04673 | 0.1004 | 0.2316 | Significant | | 0.02677 | 0.03328 | 0.00095 | −0.03251 | −0.02359 | −0.01318 | 0.02448 | 0.09864 | Not significant | | 0.1286 | 0.06646 | 0.00274 | 0.03335 | 0.04298 | 0.05513 | 0.1167 | 0.2915 | Significant | | 0.04202 | 0.03985 | 0.00142 | −0.02514 | −0.01551 | −0.004593 | 0.03834 | 0.1302 | Not significant | | 0.03269 | 0.03447 | 0.00096 | −0.03706 | −0.02348 | −0.009221 | 0.0326 | 0.1026 | Not significant | | −0.02941 | 0.02648 | 0.00067 | −0.08281 | −0.0725 | -0.06166 | −0.02944 | 0.02366 | Not significant | | 0.09206 | 0.05971 | 0.00248 | 0.002851 | 0.01263 | 0.02488 | 0.08283 | 0.2343 | Significant | | 0.02522 | 0.03162 | 0.00124 | −0.02382 | −0.0173 | −0.009797 | 0.02056 | 0.09874 | Not significant | | 0.1734 | 0.09629 | 0.00436 | 0.04157 | 0.05399 | 0.07054 | 0.1534 | 0.4118 | Significant | | 0.04525 | 0.04387 | 0.00163 | −0.02623 | −0.0163 | −0.005077 | 0.03986 | 0.1469 | Not significant | | 0.2194 | 0.09351 | 0.00396 | 0.07583 | 0.09148 | 0.1126 | 0.2058 | 0.4397 | Significant | | 0.04403 | 0.04538 | 0.00163 | −0.03077 | −0.02058 | −0.008529 | 0.0391 | 0.1466 | Not significant |
|
|