The leverage effects (in the range −0.08, 0.17) of the E-GARCH and GJR-GARCH models are quite significant, which justifies the use of these models and the inclusion of these parameters in the variance equation. 12 Regarding Table 3 and Table 4 , we find that most of the parameters that characterize the univariate distributions of each of the country return decompositions are highly significant, which evidences the high importance of calibrating these parameters and their inclusion in the analyzed models.
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Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic
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