Table 5.

‘Heat wave’ and the ‘meteor shower’ effect from spot to futures markets

Explained variables
Gold futures		Silver futures		Platinum futures		Palladium futures
Panel A. Estimated regime switching parameters
α_1_gold(AR)	0.948***	α_1_silver(AR)	0.732***	α_1_platinum(AR)	0.730***	α_1_palladium(AR)	0.730***
α_2_gold(AR)	0.656***	α_2_silver(AR)	0.008***	α_2_platinum(AR)	0.956***	α_2_palladium(AR)	0.322***
β_1_gold_S	0.017***	β_1_silver_S	0.052***	β_1_platinum_S	0.243***	β_1_palladium_S	0.161***
β_2_gold_S	0.363***	β_2_silver_S	0.809***	β_2_platinum_S	0.014***	β_2_palladium_S	0.632***
σ21	−4.75***	σ21	− 3.3***	σ21	− 3.68***	σ21	− 2.52***
σ22	− 2.92***	σ22	−0.60***	σ22	− 1.87***	σ22	−0.73***
Panel B. Regime properties
P11	0.75	P11	0.91	P11	0.57	P11	0.84
P22	0.36	P22	0.72	P22	0.84	P22	0.49
ED 11	4.1	ED 11	11.2	ED 11	2.33	ED 11	6.3
ED 22	1.6	ED 22	3.6	ED 22	6.23	ED 22	2.0

See Table 4