Research Article
An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model
Table 4
Volatility spillover parameter estimation result of different oil markets.
| Node | Mean | 2.50% | 5.00% | 10.00% | Median | 97.50% | Is it significant? |
| | 0.06004 | −0.05696 | −0.04283 | −0.02776 | 0.03806 | 0.3061 | Not significant | | 0.3032 | 0.09063 | 0.1076 | 0.1295 | 0.269 | 0.6695 | Significant | | 0.1751 | −0.008907 | 0.003472 | 0.02068 | 0.1491 | 0.4627 | Significant | | 0.293 | −0.046 09 | −0.0207 | 0.01095 | 0.2267 | 1.017 | Subsignificant | | 0.2184 | −0.02287 | −0.01117 | 0.006664 | 0.1973 | 0.5731 | Subsignificant | | 0.2808 | −0.1651 | −0.1231 | −0.07586 | 0.1751 | 1.345 | Not significant | | 0.06786 | −0.04367 | −0.03385 | −0.021 8 | 0.03545 | 0.338 | Not significant | | 0.2809 | −0.006196 | 0.018 92 | 0.06708 | 0.2548 | 0.714 | Significant | | 0.1161 | −0.02453 | −0.01588 | −0.005733 | 0.05401 | 0.5984 | Not significant | | 0.2948 | −0.01432 | 0.01946 | 0.07073 | 0.2718 | 0.7241 | Significant | | 0.5694 | 0.056 01 | 0.1235 | 0.2235 | 0.5508 | 1.177 | Significant | | 0.02523 | −0.1666 | −0.1376 | −0.1076 | 0.0007 | 0.3682 | Not significant | | 0.06786 | −0.04367 | −0.03385 | −0.0218 | 0.03545 | 0.338 | Not significant | | 0.2809 | −0.006196 | 0.01892 | 0.06708 | 0.2548 | 0.714 | Significant | | 0.1161 | −0.02453 | −0.01588 | −0.005733 | 0.05401 | 0.5984 | Not significant | | 0.2948 | −0.01432 | 0.01946 | 0.07073 | 0.2718 | 0.7241 | Significant | | 0.5694 | 0.05601 | 0.1235 | 0.2235 | 0.5508 | 1.177 | Significant | | 0.02523 | −0.1666 | −0.1376 | −0.1076 | 0.0007 | 0.3682 | Not significant |
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