Research Article
An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model
Table 6
Volatility spillover parameter estimation result between stock and oil.
| Node | Mean | 2.50% | 5.00% | 10.00% | Median | 97.50% | Is it significant? |
| | −0.1318 | −0.4226 | −0.3245 | −0.2498 | −0.1032 | −0.01694 | Not significant | | −0.02373 | −0.1954 | −0.1397 | −0.09121 | −0.006921 | 0.04063 | Not significant | | 0.05652 | −0.02654 | −0.01916 | −0.01082 | 0.03843 | 0.2475 | Not significant | | 0.3715 | −0.02974 | −0.01122 | 0.01784 | 0.324 | 1.173 | Subsignificant | | −0.05138 | −0.3714 | −0.2847 | −0.1895 | −0.01123 | 0.05214 | Not significant | | −0.1472 | −0.5502 | −0.4185 | −0.3101 | −0.1049 | −0.01055 | Not significant | | 0.05872 | −0.03439 | −0.02437 | −0.01381 | 0.03786 | 0.2752 | Not significant | | 0.3538 | −0.02979 | −0.006206 | 0.03227 | 0.3018 | 1.001 | Subsignificant | | −0.004162 | −0.1421 | −0.09803 | −0.0594 | 0.009145 | 0.05486 | Not significant | | −0.08078 | −0.2779 | −0.1979 | −0.1532 | −0.0599 | −0.0182 | Not significant | | 0.0219 | −0.02526 | −0.01954 | −0.012 96 | 0.01366 | 0.1205 | Not significant | | 0.7218 | 0.1442 | 0.2036 | 0.2771 | 0.6426 | 1.903 | Significant | | 0.01713 | −0.03673 | −0.01401 | −0.002724 | 0.0186 | 0.05428 | Not significant | | −0.07241 | −0.1865 | −0.1588 | −0.1307 | −0.06423 | −0.00017 | Not significant | | 0.06211 | −0.0332 | −0.02422 | −0.0132 | 0.04344 | 0.2481 | Not significant | | 0.3739 | −0.019 26 | 0.006416 | 0.04224 | 0.3251 | 1.103 | Subsignificant | | −0.00164 | −0.1386 | −0.09633 | −0.05549 | 0.008464 | 0.06549 | Not significant | | −0.04689 | −0.1528 | −0.1152 | −0.08902 | −0.03852 | 0.001158 | Not significant | | 0.07731 | −0.01021 | −0.001435 | 0.01242 | 0.0677 | 0.218 | Subsignificant | | 0.2014 | −0.09414 | −0.07542 | −0.05464 | 0.055 58 | 1.115 | Not significant | | −0.02373 | −0.1954 | −0.1397 | −0.09121 | −0.006921 | 0.04063 | Not significant | | −0.1318 | −0.4226 | −0.3245 | −0.2498 | −0.1032 | −0.01694 | Not significant | | 0.03079 | −0.03393 | −0.0264 | −0.01759 | 0.02132 | 0.1511 | Not significant | | 0.4105 | 0.05969 | 0.1216 | 0.171 | 0.3671 | 0.9767 | Significant | | 0.03438 | 0.003004 | 0.007927 | 0.01285 | 0.03056 | 0.08961 | Significant | | −0.01635 | −0.06732 | −0.05935 | −0.04977 | −0.01684 | 0.04631 | Not significant |
|
|