Correlation and Dynamic Volatility Spillover between Green Investing Market, Coal Market, and CO₂ Emissions: Evidence from Shenzhen Carbon Market in China

Table 6

Results of VAR-GARCH-DCC.

	RCARBON and RCOAL		RCARBON and RGIS		RCOAL and RGIS
Mean equation
	–0.001283 (0.132)		–0.00923 (0.327)		–0.00623 (0.213)
	–0.00684 (0.054)		0.00657 (0.089)		–0.00684 (0.0607)
	–2.138525 (1.231)		–2.138525 (0.063)		0.037338 (0.214)
	–2.159664 (0.217)		–8.319055 (0.0321)		–2.159664 (0.053)
	–0.560726 (0.113)		–0.560726 (0.064)		–0.016865 (0.0441)
	0.736867 (0.962)		2.205697 (0.0523)		0.736867 (0.0201)
Variance equation
	0.981338 (0.0041)		0.451378 (0.032)		0.666592 (0.0402)
	0.991044 (0.653)		0.939264 (0.041)		0.991044 (0.0917)
	0.300446 (0.003)		0.32046 (0.291)		0.13211 (0.0708)
	0.23937 (0.117)		0.17164 (0.0029)		0.39287 (0.0618)
	0.699554 (0.342)		0.67954 (0.0014)		0.86789 (0.0931)
	0.76063 (0.0314)		0.82836 (0.0102)		0.60713 (0.0405)
DCC
	0.059116 (0.021)		–0.02263 (0.002)		0.03635 (0.073)
	0.726235 (0.003)		0.84315 (0.0102)		0.951347 (0.0902)
Model diagnostics
	11.347		10.578		7.652
	10.289		11.483		7.349
	663.631		509.754		489.371