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Table 5 Coefficients of the BEKK(1,1) process for the second period (2006 to 2015)

From: An analysis of price and volatility transmission in butter, palm oil and crude oil markets

  2006–2015
  Parameter matrix C (Eq. 2)
  EU butter (c i,1) Oceania butter (c i,2) Crude palm oil (c i,3) Crude oil Brent (c i,4)
EU butter (c 1,j ) 0.0015    
Oceania butter (c 2,j ) −0.0049 0.0097   
Crude palm oil (c 3,j ) 0.0007 0.0014 0.0021  
Crude oil Brent (c 4,j ) −0.0006 0.0024 −0.0041 0.0001
  Parameter matrix A (Eq. 2)
  EU butter (a i,1) Oceania butter (a i,2) Crude palm oil (a i,3) Crude oil Brent (a i,4)
EU butter (a 1,j ) 0.0380 −0.0097 0.2470* 0.1483
Oceania butter (a 2,j ) −0.1863* 0.0633 −0.0380 −0.1082
Crude palm oil (a 3,j ) 0.0620 −0.0848 −0.0134 0.1318
Crude oil Brent (a 4,j ) 0.0074 0.1108** −0.0995** 0.2255**
  Parameter matrix G (Eq. 2)
  EU butter (g i,1) Oceania butter (g i,2) Crude palm oil (g i,3) Crude oil Brent (g i,4)
EU butter (g 1,j ) 0.9671* 0.0426 0.0434 −0.0153
Oceania butter (g 2,j ) 0.0184 0.9299* −0.0218 0.0010
Crude palm oil (g 3,j ) −0.0253 0.0412 0.9615* −0.0053
Crude oil Brent (g 4,j ) 0.0022 −0.0417 0.0323 0.9532*
  1. Coefficients of the parameter matrices C, A and G. Note that C is a triangular matrix. The symbols *, ** and *** denote rejection of the null hypothesis that the corresponding parameter equals 0 at the 1 or 5 % confidence level