Table 4.

VAR-ADCC-GARCH analysis of climate bond and WTI markets.

Variables $\downarrow$	Climate bond	WTI
$r_{t-1}^b$	0.0135 (.02)**	- 0.2281 (.72)
$r_{t-1}^o$	0.0022 (.11)	- 0.0990 (.00)***
${\epsilon }_{b,t-1}^2$	0.1031 (.00)***	44.8426 (.00)***
${\epsilon }_{o,t-1}^2$	0.00001 (.16)	0.0908 (.00)***
$h_{t-1}^b$	0.8145 (.00)***	−12.5619 (.00)***
$h_{t-1}^o$	−0.00001 (.02)**	0.8808 (.00)***
${\theta }_1$	0.2703 (.00)***
${\theta }_2$	0.0034 (.04)***
${\theta }_3$	0.0044 (.00)***
Log Likelihood	−1403.28
ARCH-LM	0.76 (.67)

Notes: This table reports the outcomes for the VAR-ADCC-GARCH model for the bond-oil combination. $r_{t-1}^o$ refers to the return on WTI oil index at time t-1 and $r_{t-1}^b$ denotes the same for the climate bond index. In addition, $h_{t-1}^b$ measures the conditional variance of the bond price returns at time t-1 and $h_{t-1}^s$ indicates the conditional variance of oil market returns at time t-1. The squared error terms ${\epsilon }_{o,t-1}^2$ and ${\epsilon }_{b,t-1}^2$ measure the effects of unexpected news or shocks in oil and bond markets, respectively. ARCH-LM statistics are used to test the null hypothesis that the return series exhibit heteroscedasticity at lag 10. ***, ** and * indicate statistical significance at 1 %, 5 % and 10 % levels, respectively. Values in parentheses indicate p-values.