Table 3.

Returns and volatility spillovers between gold and oil price returns.

Variables	Full sample		Pre-COVID-19 sample	COVID-19 sample
Mean Equation
${\varphi }_1$	−0.0689*** (0.000)		−0.0830*** (0.000)	0.2789*** (0.000)
${\varphi }_2$	0.0301*** (0.000)		0.0729*** (0.000)	0.1622*** (0.000)
${\phi }_1$	−0.0076*** (0.000)		0.0407*** (0.000)	−0.0458*** (0.000)
${\phi }_2$	−0.0379*** (0.000)		−0.0453*** (0.000)	0.1223*** (0.000)
${\theta }_1$	0.0036*** (0.000)		0.0009*** (0.000)	0.0027*** (0.000)
${\theta }_2$	0.0474*** (0.000)		0.0600*** (0.000)	−0.3918*** (0.000)
Variance Equation
$c_1$	0.9525*** (0.000)		0.9599*** (0.000)	−0.0060*** (0.000)
$c_2$	0.0872*** (0.000)		0.0841*** (0.000)	−2.6889*** (0.000)
${\alpha }_{11}$	−0.0191*** (0.000)		0.0044*** (0.000)	0.1297*** (0.000)
${\alpha }_{12}$	0.0005*** (0.000)		0.0078*** (0.000)	0.0030*** (0.000)
${\alpha }_{21}$	−0.0078*** (0.000)		−0.0019*** (0.000)	−0.3422*** (0.000)
${\alpha }_{22}$	0.0156*** (0.000)		0.0064*** (0.000)	0.0557*** (0.000)
${\beta }_{11}$	0.0030*** (0.000)		−0.0450*** (0.000)	0.9698*** (0.000)
${\beta }_{12}$	0.0360*** (0.000)		0.0440*** (0.000)	−0.0096*** (0.000)
${\beta }_{21}$	0.0412*** (0.000)		−0.0071*** (0.000)	3.2434*** (0.000)
${\beta }_{22}$	0.8810*** (0.000)		0.9262*** (0.000)	0.7497*** (0.000)
${\gamma }_1$	0.5131*** (0.000)		0.4768*** (0.000)
${\gamma }_2$	0.1584*** (0.000)		0.0966*** (0.000)
${\rho }_{12}$	0.0153*** (0.000)		−0.0008 (0.9819)	0.1017*** (0.000)
Model diagnostics
AIC	7.490	7.224		8.997
SBC	7.571	7.315		9.326
Hannan-Quinn	7.520	7.259		9.130

Note: Parameters in mean and variance equations are as defined in the model given in equations [1] to [4[; the subscripts 1 and 2 respectively indicate health and crude oil sectors returns respectively; the asterisks ***, ** and *denote statistical significance at 1%, 5% and 10% level. The values in parentheses – ( ) denote the computed probability values. Best model is selected based on minimum values of Akaike Information Criterion (AIC) and Schwartz Bayesian Criterion (SBC). Note that AIC and SBC are not comparable for the different partitions.