Table A1.

Returns and volatility spillovers between metals and oil price returns during pandemics

Variables	Palladium		Platinum		Silver
Mean Equation
${\varphi }_1$	0.3588*** (0.005)		−0.0069*** (0.000)		0.2610*** (0.000)
${\varphi }_2$	0.1301 (0.542)		0.0011*** (0.000)		−0.0504*** (0.000)
${\phi }_1$	0.0490 (0.418)		0.0404*** (0.000)		0.0361*** (0.000)
${\phi }_2$	0.2032*** (0.000)		0.2297*** (0.000)		0.1356*** (0.000)
${\theta }_1$	0.1091*** (0.000)		−0.0110*** (0.000)		0.0283*** (0.000)
${\theta }_2$	−0.0350*** (0.000)		−0.0223*** (0.000)		0.0054*** (0.000)
Variance Equation
$c_1$	1.4084*** (0.005)		1.9713*** (0.000)		0.5792*** (0.000)
$c_2$	0.1455 (0.584)		0.8536*** (0.000)		0.9723*** (0.000)
${\alpha }_{11}$	1.0652*** (0.000)		0.1258*** (0.000)		0.2197*** (0.000)
${\alpha }_{12}$	0.1141*** (0.002)		−0.0135*** (0.000)		−0.0072*** (0.000)
${\alpha }_{21}$	−0.0501 (0.116)		−0.0451*** (0.000)		−0.0087*** (0.000)
${\alpha }_{22}$	0.4148*** (0.000)		0.5649*** (0.000)		0.6624*** (0.000)
${\beta }_{11}$	0.0864* (0.056)		0.5123*** (0.000)		0.6963*** (0.000)
${\beta }_{12}$	0.0165 (0.436)		0.0392*** (0.000)		0.0110*** (0.000)
${\beta }_{21}$	0.1039*** (0.001)		−0.0236*** (0.000)		−0.0131*** (0.000)
${\beta }_{22}$	0.6280*** (0.000)		0.6075*** (0.000)		0.5273*** (0.000)
${\rho }_{12}$	0.2244*** (0.001)		0.3022*** (0.000)		0.2663*** (0.000)
Model diagnostics
AIC	10.827	10.462		10.393
SBC	11.157	10.791		10.723
Hannan-Quinn	10.961	10.596		10.527

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.