Skip to main content

Table 9 GARCH - constant price of risk

From: The Swiss franc safety premium

  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
  [6.038] [10.560] [6.896] [11.767] [3.192]
Cons 0.000 −0.000 −0.002 0.001 0.001
  [0.001] [0.002] [0.002] [0.002] [0.001]
  1. 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
  2. ***, **, * denote significance levels of 1, 5, and 10%, respectively