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* |