DCC parameters between the US stock market, US uncertainty and the COVID-19 pandemic
| First wave | Second wave | ||||||
|---|---|---|---|---|---|---|---|
| S&P 500 | VIX | EPU | S&P 500 | VIX | EPU | ||
| a | 0.00166** | 0.0461*** | 0.0427*** | a | 0.0119* | 0.0485*** | 0.0369*** |
| (0.000987) | (0.00183) | (0.00883) | (0.00493) | (0.00235) | (0.00926) | ||
| b | 0.00251** | 0.0176** | 0.00465*** | b | 0.00209** | 0.0158* | 0.0167*** |
| (0.00132) | (0.00616) | (0.0119) | (0.00134) | (0.00684) | (0.0128) | ||
| First wave | Second wave | ||||||
|---|---|---|---|---|---|---|---|
| S&P 500 | VIX | EPU | S&P 500 | VIX | EPU | ||
| a | 0.00166** | 0.0461*** | 0.0427*** | a | 0.0119* | 0.0485*** | 0.0369*** |
| (0.000987) | (0.00183) | (0.00883) | (0.00493) | (0.00235) | (0.00926) | ||
| b | 0.00251** | 0.0176** | 0.00465*** | b | 0.00209** | 0.0158* | 0.0167*** |
| (0.00132) | (0.00616) | (0.0119) | (0.00134) | (0.00684) | (0.0128) | ||
Note(s): Standard errors in parentheses * p < 0.05, **p < 0.01 and ***p < 0.001
Source(s): Author’s computation
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.