Table 2.
Conditional heteroscedasticity, autocorrelation and asymmetry tests).
| Pane 2a: Conditional Heteroscedasticity and Autocorrelation Tests | ||||||
|---|---|---|---|---|---|---|
| Full sample | Pre-COVID-19 sample | COVID-19 sample | ||||
| Gold | Oil | Gold | Oil | Gold | Oil | |
| ARCH LM (6) | 25.227*** (0.000) | 15.109*** (0.000) | 17.263*** (0.000) | 9.614*** (0.000) | 2.330** (0.035) | 2.107* (0.056) |
| ARCH LM (12) | 12.768*** (0.000) | 16.124*** (0.000) | 8.878*** (0.000) | 7.021*** (0.000) | 1.847** (0.047) | 1.820* (0.051) |
| LB(6) | 17.140*** (0.004) | 5.373 (0.372) | 31.080*** (0.000) | 3.202 (0.0.669) | 10.900* (0.053) | 2.301 (0.806) |
| LB(12) | 22.838** (0.018) | 20.147** (0.043) | 33.346*** (0.000) | 13.229 (0.279) | 17.840* (0.085) | 9.663 (0.561) |
| LB2(6) | 133.81*** (0.000) | 113.48*** (0.000) | 102.88*** (0.000) | 79.681*** (0.000) | 20.701*** (0.002) | 13.103** (0.041) |
| LB2(12) | 137.28*** (0.000) | 316.83*** (0.000) | 112.05*** (0.000) | 144.82*** (0.000) | 41.764*** (0.000) | 30.028*** (0.003) |
| Pane 2b: Asymmetry test and CCC test | ||||||
| Sign bias | 1.042 (0.298) | 1.176 (0.240) | 3.371*** (0.000) | 1.995** 0.046 | 0.022 (0.983) | 0.115 (0.909) |
| Negative bias | 1.222 (0.222) | 1.850* (0.065) | 8.134*** (0.000) | 0.724 (0.469) | 0.502 (0.616) | 1.053 (0.294) |
| Positive bias | 1.233 (0.218) | 0.023 (0.982) | 0.539 (0.590) | 0.459 (0.646) | 0.787 (0.423) | 0.517 (0.606) |
| Joint bias | 3.014 (0.390) | 9.893** (0.020) | 66.690*** (0.000) | 4.685 (0.196) | 0.876 (0.831) | 2.477 (0.480) |
| ES test | 0.084 (0.959) | 0.073 (0.964) | 0.171 (0.918) | |||
| Model Choice | Asymmetry CCC | Asymmetry CCC | Symmetry CCC | |||
Note: The ARCH LM tests refer to the Engle (1982) test for conditional heteroscedasticity while the LB and LB2 imply the Ljung-Box tests for autocorrelations involving the standardized residuals in levels and squared standardized residuals respectively. The null hypothesis for the ARCH LM test is that the series has no ARCH effects (that is, it is not volatile) while LB test for null hypothesis is that the series is not serially correlated; ES test imply the Engle-Sheppard CCC test; the values in parentheses – ( ) denote the computed probability values.