Unit root test results
| S&P 500 | VIX | EPU | BSE | |
|---|---|---|---|---|
| First wave | ||||
| ADF | −26.946*** (I) | −21.315*** (I) | −7.033*** (o) | −8.313*** (o) |
| PP | −23.123*** (o) | −23.195*** (o) | −4.856*** (o) | −7.117*** (o) |
| Second wave | ||||
| ADF | −25.886*** (o) | −19.735*** (o) | −5.635*** (o) | −7.482*** (o) |
| PP | −24.656*** (o) | −19.594*** (o) | −5.063*** (o) | −7.409*** (o) |
| S&P 500 | VIX | EPU | BSE | |
|---|---|---|---|---|
| ADF | −26.946*** (I) | −21.315*** (I) | −7.033*** (o) | −8.313*** (o) |
| PP | −23.123*** (o) | −23.195*** (o) | −4.856*** (o) | −7.117*** (o) |
| ADF | −25.886*** (o) | −19.735*** (o) | −5.635*** (o) | −7.482*** (o) |
| PP | −24.656*** (o) | −19.594*** (o) | −5.063*** (o) | −7.409*** (o) |
Source(s): Author’s computation
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