| Â | USD index | CHF index | EUR/CHF |
|---|
\(xr^{c}_{t+1}\)
|
All
|
All
| T≥1999 |
All
| T≥1999 |
|---|
σ
c,m,t+1
| 6.150 | 3.758 | 10.168 | 2.208 | 3.482 |
| Â | [6.038] | [10.560] | [6.896] | [11.767] | [3.192] |
Cons
| 0.000 | −0.000 | −0.002 | 0.001 | 0.001 |
| Â | [0.001] | [0.002] | [0.002] | [0.002] | [0.001] |
- Notes: This table reports the quasi-maximum likelihood estimates for the currency excess returns mean equation of the DCC MGARCH model for the case of no time variation in the price of risk: \(xr^{c}_{t+1} = \gamma ^{c}_{0} + \gamma ^{c}_{1} \sigma _{c,m,t+1} + u^{c}_{t+1}\). \(xr^{c}_{t+1}\) corresponds to the excess return of investing abroad, σc,m,t+1 is the conditional covariance between currency returns and home market portfolio returns, and \(\gamma ^{c}_{1}\) corresponds to the price of currency risk. For details and the complete results table see the Additional file 1. Robust standard errors are reported in square brackets
- ***, **, * denote significance levels of 1, 5, and 10%, respectively
