|
CC
|
DQ
|
|
1-regime
|
2-regime
|
non-msgarch
|
1-regime
|
2-regime
|
non-msgarch
|
|
VaR 5% level
|
|
|
|
|
|
|
| Islamic Stocks/Gold |
0.210 |
0.875 |
0.475 |
0.272 |
0.504 |
0.496 |
| Conventional Stocks/Gold |
0.112 |
0.065 |
0.428 |
0.358 |
0.001 |
0.013 |
|
VaR 1% level
|
|
|
|
|
|
|
| Islamic Stocks/Gold |
0.682 |
0.487 |
0.010 |
0.182 |
0.219 |
0.009 |
| Conventional Stocks/Gold |
0.175 |
0.035 |
0.003 |
0.185 |
0.000 |
0.000 |