Table 3.
Estimates of the ARMA(0,1)-GARCH(1,1) model during COVID.
| PAX Gold | PAX | Gold | |
|---|---|---|---|
| Panel A: Mean Equation | |||
| c | 0.00045 (0.00064) |
-6.13E-05 (0.000101) |
0.00048 (0.00068) |
| η1 (MA(1)) | -0.25434⁎⁎⁎ (0.05041) |
-0.83567⁎⁎⁎ (0.02980) |
-0.09955 (0.06678) |
| DCOVID | 6.31-05 (0.00083) |
5.33E-05 (0.000103) |
0.00096 (0.00104) |
| Panel B: Conditional Variance Equation | |||
| α0 | 4.07E-05 (3.03E-05) |
4.91E-06⁎⁎ (2.50E-06) |
8.15E-06 (5.74E-06) |
| α1 (ARCH) | 0.39322 (0.26378) |
0.18972⁎⁎⁎ (0.03662) |
0.13456* (0.07513) |
| β1 (GARCH) | 0.58109⁎⁎⁎ (0.11950) |
0.74074⁎⁎⁎ (0.02422) |
0.77303⁎⁎⁎ (0.01873) |
| DCOVID | 1.78E-05 (2.07E-05) |
-4.89E-06⁎⁎ (2.50E-06) |
1.37E-05 (1.08E-05) |
| Panel C: Goodness of Fit Statistics and Residual Diagnostics | |||
| AIC | -5.86677 | -8.52818 | -6.11182 |
| SIC | -5.83265 | -8.44235 | -6.00316 |
| Q(36) | 33.441 | 24.324 | 32.839 |
| ARCH LM test (prob) | 0.1633 | 0.8399 | 0.7041 |
| No of observations | 363 | 363 | 263 |
*,**,***indicate significance at the 10%, 5% and 1% levels, respectively. Standard errors are in parentheses. c is the constant term, η1 is the coefficient of the ARMA(0,1) model, α0 is the constant intercept term, α1 and β1 capture the presence of heteroskedasticity in daily index return series, DCOVID represents the COVID-19 period and takes on the value of 1 if the day falls within the COVID-19 period and 0 otherwise