Table 6

Wald test results (VIX)

VIX
At 1st QuantileQ2Q3Q4Q5Q6Q7Q8Q9
3.6E−05−0.0003***−5.0E−05−0.0001**−0.0001***−0.0001**−0.0001−0.0001
0.68850.00010.46510.01300.00420.02040.11330.5150
At 5th QuantileQ1Q2Q3Q4Q6Q7Q8Q9
−0.0003***−5.E−05−0.0001**−4.6E−05−0.0001***−0.0001**−0.0001−3.68E−06
0.00010.46510.01300.25980.00210.02040.11330.7257
At 9th QuantileQ1Q2Q3Q4Q5Q6Q7Q8
−0.0003***−5.0E−05−0.0001**−0.0001***−0.0001***−0.0001***−0.0001−3.6E−06
0.00010.46510.01300.00420.00240.02040.11330.9619
Source(s): Author’s own elaboration
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