Table 7.

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

Explained variables
Gold spot				Silver spot
Panel A. Estimated regime switching parameters
α_1_gold(AR)	0.304***	α_1_gold(AR)	0.565***	α_1_silver(AR)	0.399***	α_1_silver(AR)	0.417***
α_2_gold(AR)	0.543***	α_2_gold(AR)	0.223***	α_2_silver(AR)	0.454***	α_2_silver(AR)	0.920***
β_1_gold_F	0.345***	β_1_gold_LF	0.152***	β_1_silver_F	0.458***	β_1_silver_LF	0.437***
β_2_gold_F	0.161***	β_2_gold_LF	0.400***	β_2_silver_F	0.250***	β_2_silver_LF	0.043***
σ21	−1.91	σ21	− 3.71	σ21	−0.63	σ21	−0.48
σ22	−3.78	σ22	− 1.92	σ22	− 4.13	σ22	− 3.60
Panel B. Regime properties
P11	0.61	P11	0.81	P11	0.94	P11	0.88
P22	0.82	P22	0.61	P22	0.94	P22	0.92
ED 11	2.6	ED 11	5.3	ED 11	17.5	ED 11	8.1
ED 22	5.4	ED 22	2.5	ED 22	17.2	ED 22	12.2

Subscripts F and LF indicate to short-term and long-term futures, respectively. For explanation of symbols and acronyms refer to Table 4