Table 5.
DCC-GARCH estimates.
| Dependent Variable | Constellation B. | Corona C. | Coronation F.M. |
|---|---|---|---|
| 1st lag | 0.0863*** | −0.0306 | 0.0013** |
| (0.0253) | (0.0270) | (0.0450) | |
| 2nd lag | 0.0847** | −0.0663* | −0.0155 |
| (0.0394) | (0.0384) | (0.0390) | |
| 3rd lag | 0.0052 | −0.0076 | −0.0002*** |
| (0.0463) | (0.0372) | (0.0411) | |
| Shanghai SE | 0.0472 | 0.0499 | 0.3666*** |
| (0.1062) | (0.0665) | (0.1355) | |
| Shenzhen SE | 0.0190 | 0.0429 | −0.1959* |
| (0.0863) | (0.0516) | (0.1173) | |
| DJIA | 0.7543*** | 0.1303*** | 0.3213*** |
| (0.0708) | (0.0361) | (0.0947) | |
| WTI | 0.0111 | −0.0177 | 0.0861** |
| (0.0258) | (0.0140) | (0.0359) | |
| Gold | 0.0517 | −0.1317*** | 0.0004 |
| (0.0723) | (0.0417) | (0.0894) | |
| Bitcoin | 0.0042 | 0.0019 | 0.0188 |
| (0.0092) | (0.0081) | (0.0174) | |
| COVID-19, Mean eq. | −0.0016*** | −0.0011*** | −0.0008*** |
| (0.0003) | (0.0004) | (0.0001) | |
| Constant | 0.0003*** | 0.0023*** | 0.0002*** |
| (0.0001) | (0.0004) | (0.0001) | |
| COVID-19, Var eq. | 0.0056*** | 0.0016* | 0.0012*** |
| (0.0000) | (0.0000) | (0.0000) | |
| ARCH | 0.0240*** | 0.0760** | 0.0993* |
| (0.0070) | (0.0309) | (0.0517) | |
| GARCH | 0.8619*** | 0.8596*** | 0.7763*** |
| (0.0694) | (0.0692) | (0.2269) | |
| Log likelihood | 1719.07 | 3823.18 | 1518.22 |
| Wald chi2(10) | 194.72 | 60.20 | 60.32 |
| Prob >chi2 | 0.0000 | 0.0000 | 0.0000 |
Note: The presented analysis was conducted using hourly data between the period 11 March 2019 and 10 March 2020 (5,701 observations), where the period denoted as both pre- and post-COVID-19 pandemic (4,580 and 1,122 observations respectively) is denoted to be before and after 31 December 2019.. ***, ** and * indicates statistical significance at the 1%, 5% and 10% levels respectively.