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. 2020 Jul 25;7:100178. doi: 10.1016/j.trip.2020.100178

Table 5.

BDTI results.

BDTI (1) (2) (3) (4) (5)
Mean equation
BDTI [−1] 0.635***
(0.04)		 0.693***
(0.04)		 0.689***
(0.04)		 0.692***
(0.04)		 0.693***
(0.04)
Coronavirus 0.006
(0.01)		 −0.041***
(0.01)		 −0.043***
(0.01)		 −0.043***
(0.01)		 −0.041***
(0.01)
Global Calls 0.076
(0.06)		 0.078
(0.06)
China Calls 0.027
(0.03)
Brent [−1] −0.042*
(0.02)		 −0.042**
(0.025)		 −0.081***
(0.02)		 −0.080***
(0.02)		 −0.076***
(0.02)
S&P 500 −0.128***
(0.05)		 −0.135***
(0.05)
S&P 500 [−1] 0.162***
(0.04)		 0.16***
(0.10)		 0.41***
(0.10)
Shanghai 0.084**
(0.04)		 0.076*
(0.04)		 0.041 (0.04)
VIX [−1] 0.036***
(0.01)
Constant −0.047
(0.08)		 −0.011
(0.08)		 −0.017
(0.07)		 −0.018
(0.07)		 −0.021
(0.08)



GARCH equation
Constant 0.220***
(0.06)		 0.207***
(0.06)		 0.202***
(0.07)		 0.204***
(0.06)		 0.204***
(0.07)
ARCH 0.662***
(0.09)		 0.650***
(0.08)		 0.720***
(0.09)		 0.684***
(0.09)		 0.754***
(0.11)
GARCH 0.487***
(0.06)		 0.500***
(0.05)		 0.467***
(0.05)		 0.482***
(0.05)		 0.421***
(0.06)
R-squared 0.40 0.41 0.42 0.43 0.43
Durbin-Watson 2.03 2.16 2.12 2.13 2.18
Observations 350 350 350 350 350

See notes in Table 3.

Figures in parentheses (.) indicate t-statistics. ***, ** and * indicate significance at the 1%, 5% and 10% significance levels, respectively.