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Table 7 Descriptive statistics of time-varying conditional correlations

From: Half-day trading and spillovers

  \( {R}_{m,t}^c \) \( {R}_{a,t}^c \) \( {R}_{d,t}^c \)
Mean 0.140 0.068 0.138
Std 4.540 × 10− 7 0.040 4.911 × 10− 3
Min 0.140 −0.017 0.124
Max 0.140 0.146 0.1512
  1. Notes. This table reports the summary statistics of the time-varying correlations computed by the DCC-GARCH model. \( {R}_{m,t}^c \), \( {R}_{a,t}^c \), and \( {R}_{d,t}^c \) represent the time-varying conditional correlations between \( {R}_t^{s\&p} \) and \( {R}_{m,t}^c \), \( {R}_{a,t}^c \), and \( {R}_{d,t}^c \), respectively