Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH-EVT-Copula Approach

Table 2

The results of ARMA (1,1)-EGARCH (1, 1)-t model.

	Bitcoin	Gold	Dollar	Oil	Stock
	0.0017^∗∗∗	0.0002^∗	−0.0001	−0.0000	0.0006^∗∗∗
	−0.8894^∗∗∗	−0.3706^∗∗∗	0.8455^∗∗∗	−0.3197^∗∗∗	−0.2424^∗∗∗
	0.8802^∗∗∗	0.3053^∗∗∗	−0.8662^∗∗∗	0.2814^∗∗∗	0.1731^∗∗∗
	−0.1567^∗∗∗	−0.1344^∗∗∗	−0.0777^∗∗∗	−0.0807^∗∗∗	−0.3775^∗∗∗
	0.4196^∗∗∗	0.0902^∗∗∗	0.1044^∗∗∗	0.1291^∗∗∗	0.2407^∗∗∗
	0.9726^∗∗∗	0.9856^∗∗∗	0.9928^∗∗∗	0.9898^∗∗∗	0.9619^∗∗∗
	0.0645^∗∗	0.0285^∗∗	0.0138	−0.0882^∗∗∗	−0.1839^∗∗∗
LL	3530.112	5949.549	7047.405	4370.925	6184.461

Note. LL is the log-likelihood value of the estimation; ^∗, ^∗∗, and ^∗∗∗ indicate the significant level at 10%, 5%, and 1%, respectively.