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