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

Table 9

Result of VAR-GARCH-BEKK.

	RCARBON and RCOAL		RCARBON and RGIS		RCOAL and RGIS
Mean equation
μ1	−0.01273 (0.26135)	μ1	−0.0509 (0.25922)	μ2	−0.0305 (0.27552)
μ2	−0.0053 (0.35938)	μ3	0.00643 (0.35246)	μ3	0.0533 (0.32760)
φ11	0.010201 (0.5751)	φ11	0.012224 (0.582)	φ22	0.01162 (0.33225)
φ12	0.0092 (0.27494)	φ13	0.043 (0.31702)	φ23	−0.03 (0.30974)
φ21	0.002055 (0.50908)	φ31	0.001968 (0.50344)	φ32	0.001076 (0.20767)
φ22	0.956149 (0.11603)	φ33	0.951874 (0.91175)	φ33	0.983258 (0.13096)
Variance equation
c11	−0.002174 (0.27319)	c11	−0.001529 (0.26176)	c22	−0.00037 (0.33547)
c21	−0.000542 (0.36423)	c31	0.00062 (0.35488)	c32	0.000485 (0.36799)
c22	−0.519903 (0.33807)	c33	−0.530391 (0.034748)	c33	−0.047379 (0.29016)
a11	−0.212557 (0.31370)	a11	−0.218972 (0.31678)	a22	0.012045 (0.29399)
a12	−0.095003 (0.20385)	a13	−0.06267 (0.16469)	a23	0.008294 (0.18608)
a21	−0.072353 (0.21289)	a31	−0.004474 (0.18009)	a32	0.027269 (0.16421)
a22	−0.1597 (0.12903)	a33	0.04408 (0.16024)	a33	0.029829 (0.18451)
b11	0.001891 (0.12015)	b11	0.000229 (0.17213)	b22	−0.009958 (0.19778)
b12	−0.041182 (0.32738)	b13	0.029175 (0.26872)	b23	0.032983 (0.27957)
b21	0.005892 (0.33386)	b31	0.005515 (0.27617)	b32	0.007928 (0.28708)
b22	0.00997 (0.42935)	b33	0.012253 (0.41784)	b33	0.001154 (0.39647)
d11	−0.000103 (0.22818)	d11	−0.000054 (0.025246)	d22	−0.033 (0.14093)
d12	0.001656 (0.39981)	d13	0.00039985 (4.198)	d23	0.01062 (0.46787)
d21	0.967074 (0.80048)	d31	0.95 (0.16799)	d32	0.983225 (0.57755)
d22	0.254474 (0.26736)	d33	0.282485 (0.19618)	d33	0.17114 (0.23108)
Diagnostics
AIC	9.351	10.871	7.762
SBC	9.475	10.139	7.941
LOG-L	5185.165	4842.467	8767.354