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

Table 6

Estimation results of R-vine copula.

The whole period						Without COVID-19				During COVID-19
Tree1	Edge	2,1	2,3	5,2	5,4	2,1	2,3	5,2	5,4	2,1	2,3	5,1	5,4
	Copula	Gumbel	Frank	Student t	Frank	Joe	Frank	Student t	Frank	Student t	Student t	Clayton	Student t
	Kendall’s	0.05	0.24	−0.06	0.18	0.02	0.24	-0.09	0.17	0.15	0.21	0.18	0.20
	Up	0.07	—	0.00	—	0.05	—	0.00	—	0.06	0.01	—	0.11
	Low	—	—	0.00	—	—	—	0.00	—	0.06	0.01	0.21	0.11
Tree2	Edge	5,1|2	5,3|2	4,2|5		5,1|2	3,1|2	4,2|5		3,1|2	5,2|1	4,1|5
	Copula	Clayton	Student t	Student t		Frank	Frank	Student t		Frank	Student t	Gaussian
	Kendall’s	0.03	0.01	0.06		−0.02	−0.00	0.09		0.08	0.03	0.07
	Up	—	0.02	0.00		—	—	0.00		—	0.03	—
	Low	0.00	0.02	0.00		—	—	0.00		—	0.03	—
Tree3	Edge	3,1|5,2	4,3|5,2			5,3|1,2	4,1|5,2			5,3|1,2	4,2|5,1
	Copula	Joe	Student t			Student t	Gaussian			Gumbel	Student t
	Kendall’s	0.01	0.01			-0.00	-0.01			0.08	-0.01
	Up	0.03	0.00			0.02	—			0.11	0.00
	Low	—	0.00			0.02	—			—	0.00
Tree4	Edge	4,1| 3,5,2				4,3| 5,1,2				4,3| 5,1,2
	Copula	Gaussian				Clayton				Student t
	Kendall’s	0.00				0.03				0.01
	Up	—				—				0.02
	Low	—				0.00				0.02