Table 1. EGARCH Estimates for all return series. Specification: 6 Series Uncond'l a b c1 c2 c3 d (rt) σ(rt) Forward 78.939 .603 .931 .339 -.247 Currency (2.19) (29.43) (4.39) (-3.06) U.S. 115.315 4.855 .484 .533 Stocks (3.76) (3.52) (6.04) Japanese 98.615 .179 .981 .193 Stocks (2.61) (130.71) (5.39) U.S. 98.858 .312 .966 .340 Bonds (2.92) (82.78) (6.82) Japanese 38.935 .682 .907 .663 -.395 .281 -.149 (3.95) (37.15) (7.80) (-3.62) (3.50) (-2.52) Notes: Estimates are for weekly returns at annual percentage rates. T-statistics are given in parentheses. Unconditional estimates are formed over the entire sample. Table 2. Correlation estimations for all return series. Specification (for a pair of assets i and j): 7 Return Pair Uncond. a b c Corr Forward U.S. Stocks -.052 Currency Forward Japanese -.096 -.002 .979 .065 Currency Stocks (-.33) (40.26) (2.24) Forward U.S. -.148 Currency Forward Japanese -.307 -.584 .143
Table 1. EGARCH Estimates for all return series. Specification: 6 Series (rt) Uncond'l σ(rt) a b c1 c2 c3 d Forward Currency 78.939 .603 (2.19) .931 (29.43) .339 (4.39) -.247 (-3.06) U.S. Stocks 115.315 4.855 (3.76) .484 (3.52) .533 (6.04) Japanese Stocks 98.615 .179 (2.61) .981 (130.71) .193 (5.39) U.S. Bonds 98.858 .312 (2.92) .966 (82.78) .340 (6.82) Japanese 38.935 .682 (3.95) .907 (37.15) .663 (7.80) -.395 (-3.62) .281 (3.50) -.149 (-2.52) Notes: Estimates are for weekly returns at annual percentage rates. T-statistics are given in parentheses. Unconditional estimates are formed over the entire sample. Table 2. Correlation estimations for all return series. Specification (for a pair of assets i and j): 7 Return Pair Uncond. Corr a b c Forward Currency U.S. Stocks -.052 Forward Currency Japanese Stocks -.096 -.002 (-.33) .979 (40.26) .065 (2.24) Forward Currency U.S. -.148 Forward Japanese -.307 -.584 .143
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