The thing I want to study is whether the extreme stock movements effect the gold price and in which way, thus reading from your post I need to put the equation
gold = c(1) + c(2)*stocks + c(3)*d10*stocks + c(4)*d05*stocks + c(5)*d01*stocks
to the mean equation box as:
to obtain the values?
For the variable c(4) i get -0.059928 coefficient, thus showing that 1% decrease in the extreme 5% times generates 0,05% increase in the price of gold?
For the c(2) im just wondering why it is so unsignificant when in the study it is very significant for all of the markets.
Lastly if you want to give me a quick help, are these models basically the same:
and
(exclude the bond coefficients) they also use GARCH for the heteroscedasticity.
But thank you Glenn in advance for your valuable help!