Panel A: Whole Sample (Dec 7, 2015 to Jun 30, 2021)
	Regime Ķ = 1		Regime Ķ = 2		Non-MSGARCH
	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD
\(\mathcal{W}_{0}^{T}\mathcal{S}_{t}\) (dependence)	-0.161^***	-0.447^***	-0.142^***	-0.436^***	-0.978^*	-0.353^***
\(\mathcal{W}_{1}^{T}\mathcal{S}_{t}\) (persistence)	-0.092^***	-1.464^***	-0.049	-1.439^***	-0.141^**	-0.111^***
\(\mathcal{W}_{2}^{T}\mathcal{S}_{t}\) (variation)	-0.029	0.208	-0.216^***	0.195	-0.111	-0.334^***
AIC	-46.131	-52.805	-46.426	-49.448	-40.125	-39.07
LL	29.065	32.402	29.213	30.724	26.062	25.535
Transition Probabilities Matrix
P₁₁	1.000	1.000	0.796	0.592
P₂₂			0.777	0.887
Panel B: Pre-Covid 19 (Dec 7, 2015, to March 10, 2020)
	Regime Ķ = 1		Regime Ķ = 2		Non-MSGARCH
	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD
\(\mathcal{W}_{0}^{T}\mathcal{S}_{t}\) (dependence)	-0.235	-1.055^***	-0.828^***	-1.063^*	-0.139	-0.703^***
\(\mathcal{W}_{1}^{T}\mathcal{S}_{t}\) (persistence)	-0.094^***	-0.151^***	-0.157^**	-0.171^***	-0.094^***	-0.116^***
\(\mathcal{W}_{2}^{T}\mathcal{S}_{t}\) (variation)	-0.285^***	-0.111	-0.126^***	-0.116	-0.308^***	-0.181^***
AIC	-30.352	-28.959	-31.055	-27.757	-30.293	-27.476
LL	21.176	20.479	21.527	19.878	21.146	19.735
Transition Probabilities Matrix
P₁₁	1.000	1.000	0.953	0.979
P₂₂			0.682	0.970
Panel C: Covid-19 (March 11, 2020, to Jun 30, 2021)
	Regime Ķ = 1		Regime Ķ = 2		Non-MSGARCH
	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD	DJIM-GOLD	DJCA-GOLD
\(\mathcal{W}_{0}^{T}\mathcal{S}_{t}\) (dependence)	-0.194^***	-0.432^***	-0.246^***	-0.559^***	-0.307	-0.482
\(\mathcal{W}_{1}^{T}\mathcal{S}_{t}\) (persistence)	-0.011	-0.607^***	-0.019	-0.588^***	-0.035	-0.595^***
\(\mathcal{W}_{2}^{T}\mathcal{S}_{t}\) (variation)	-0.562^***	-0.719^***	-0.662^***	-0.612^***	0.007	-0.731
AIC	-5.104	-12.758	-6.267	-15.297	-4.616	-12.519
LL	8.552	12.379	9.133	13.648	8.308	12.259
Transition Probabilities Matrix
P₁₁	1.000	1.000	0.869	0.856
P₂₂			0.663	0.781