Empirical results of panel GLS
| Variable | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| CoVaR (−1) | 0.334*** (9.534) | 0.332*** (9.447) | 0.308*** (8.806) | 0.305*** (8.664) | 0.282*** (8.271) | 0.282*** (8.226) |
| BVE(−1) | −0.224 (−1.557) | −0.267* (−1.875) | −0.237* (−1.751) | |||
| AST(−1) | −0.049 (−0.282) | −0.075 (−0.451) | −0.179 (−1.115) | |||
| DTE(−1) | 0.008* (1.650) | 0.008* (1.726) | 0.009* (1.838) | 0.009* (1.937) | 0.009** (2.000) | 0.010** (2.152) |
| VIX | 0.151*** (4.723) | 0.145*** (4.605) | 0.167*** (5.394) | 0.161*** (5.295) | ||
| FED | −0.042 (−1.111) | −0.046 (−1.214) | −0.055 (−1.507) | −0.059 (−1.623) | ||
| VUCI | 9.960*** (7.551) | 8.878*** (6.664) | ||||
| Cons | −0.478*** (−12.939) | −0.485*** (−13.053) | −0.504*** (−13.398) | −0.513*** (−13.586) | −0.952*** (−12.540) | −0.966*** (−12.769) |
| N | 756 | 756 | 756 | 756 | 756 | 756 |
| Variable | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| 0.334*** (9.534) | 0.332*** (9.447) | 0.308*** (8.806) | 0.305*** (8.664) | 0.282*** (8.271) | 0.282*** (8.226) | |
| BVE(−1) | −0.224 (−1.557) | −0.267* (−1.875) | −0.237* (−1.751) | |||
| AST(−1) | −0.049 (−0.282) | −0.075 (−0.451) | −0.179 (−1.115) | |||
| DTE(−1) | 0.008* (1.650) | 0.008* (1.726) | 0.009* (1.838) | 0.009* (1.937) | 0.009** (2.000) | 0.010** (2.152) |
| VIX | 0.151*** (4.723) | 0.145*** (4.605) | 0.167*** (5.394) | 0.161*** (5.295) | ||
| FED | −0.042 (−1.111) | −0.046 (−1.214) | −0.055 (−1.507) | −0.059 (−1.623) | ||
| VUCI | 9.960*** (7.551) | 8.878*** (6.664) | ||||
| Cons | −0.478*** (−12.939) | −0.485*** (−13.053) | −0.504*** (−13.398) | −0.513*** (−13.586) | −0.952*** (−12.540) | −0.966*** (−12.769) |
| 756 | 756 | 756 | 756 | 756 | 756 |
Note(s): (1) The Hausman test results choose fixed effects
(2) ***, ** and * denote significance level at 1%, 5% and 10%, respectively
(3) t-values are in the parentheses
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