| USD Index | CHF Index | EUR/CHF | ||||
---|---|---|---|---|---|---|---|
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\) | All | All | T<1999 | T≥1999 | All | T<1999 | T≥1999 |
dp t | 0.001 | 0.000 | −0.000 | 0.001** | 0.000 | −0.000 | 0.001** |
 | [0.000] | [0.000] | [0.001] | [0.000] | [0.000] | [0.001] | [0.000] |
\(r_{t}^{\omega }\) | −0.004* | −0.000 | 0.001 | −0.002 | −0.001 | 0.001 | −0.004* |
 | [0.002] | [0.001] | [0.001] | [0.001] | [0.001] | [0.001] | [0.002] |
\({var}_{t}^{{\prime }e}\) | 0.005 | −0.046 | −0.097 | −0.177** | 0.026 | −0.092 | −0.077 |
 | [0.057] | [0.062] | [0.118] | [0.084] | [0.070] | [0.114] | [0.105] |
\({var}_{t}^{{\prime }r}\) | 0.016 | −0.005 | 0.003 | −0.016 | −0.011 | −0.006 | −0.016 |
 | [0.031] | [0.009] | [0.011] | [0.015] | [0.009] | [0.013] | [0.018] |
\({cov}_{t}^{\prime }\) | 0.061* | −0.071 | −0.166** | 0.034 | −0.054 | −0.133* | −0.025 |
 | [0.033] | [0.053] | [0.068] | [0.061] | [0.057] | [0.080] | [0.074] |
Cons | 0.003 | 0.001 | −0.001 | 0.003** | 0.001 | −0.001 | 0.004** |
 | [0.002] | [0.001] | [0.002] | [0.001] | [0.001] | [0.002] | [0.002] |
R 2 | 0.088 | 0.021 | 0.092 | 0.082 | 0.023 | 0.093 | 0.104 |
F-statistic | 12.08 | 2.231 | 4.285 | 2.447 | 1.660 | 7.478 | 2.947 |
χ2-statistic | 60.400 | 11.155 | 21.425 | 12.235 | 8.300 | 37.390 | 14.735 |
p value (χ2-stat.) | 0.000 | 0.048 | 0.001 | 0.032 | 0.140 | 0.000 | 0.012 |