An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model

Table 5

Volatility spillover parameter estimation result between oil future and spot price.

Node	Mean	2.50%	5.00%	10.00%	Median	97.50%	Is it significant?
	0.4485	0.06548	0.1181	0.1959	0.4506	0.8539	Significant
	0.3667	0.02885	0.05408	0.09264	0.343	0.8193	Significant
	0.2449	−0.01832	0.001284	0.02926	0.2137	0.684	Significant
	0.165	−0.04118	−0.02714	−0.009801	0.1151	0.6209	Not significant
	0.1284	−0.0179	−0.00060	0.01764	0.115	0.3511	Subsignificant
	0.2022	−0.05455	−0.03521	−0.01147	0.1325	0.7939	Not significant
	0.2507	−0.006017	0.009745	0.03747	0.2138	0.7771	Significant
	0.146 5	−0.032 99	−0.02004	−0.004512	0.09516	0.5993	Not significant
	0.2146	−0.09007	−0.05445	−0.01726	0.1716	0.8721	Not significant
	0.2803	−0.01483	−0.003936	0.0127	0.2675	0.752	Subsignificant
	0.3341	−0.03156	0.005658	0.07648	0.3116	0.8012	Significant
	0.1218	−0.05055	−0.038	−0.02302	0.04944	0.7169	Not significant
	0.3971	−0.1292	−0.06635	0.01752	0.3887	1.007	Subsignificant
	0.123	−0.04957	−0.03826	−0.02398	0.04434	0.5781	Not significant
	0.1329	−0.07335	−0.04068	−0.01327	0.09873	0.4624	Not significant
	0.1128	−1.097	−0.9743	−0.6685	0.1165	1.032	Not significant
	0.09382	−0.1008	−0.07042	−0.03843	0.07099	0.3969	Not significant
	0.2786	−0.07741	−0.04265	−0.002324	0.2168	1.005	Not significant