Table 5.
Regressions of the daily changes in total risk for CRSP VW index returns on the changes in VIX and FTR, percent of deaths, and percent of recoveries.
| Coefficients | Dependent Variable: Δ Risk | ||
|---|---|---|---|
| (1) | (2) | (3) | |
| Intercept | 0.016⁎⁎⁎ (3.55) |
0.004 (0.77) |
0.011* (1.69) |
| Δ VIX | 0.001 (1.39) |
0.002⁎⁎ (1.83) |
0.002* (1.97) |
| Δ FTR | −0.186⁎⁎⁎ (−4.47) |
−0.157⁎⁎⁎ (−3.93) |
−0.153⁎⁎⁎ (−3.89) |
| pDeaths | 3.916⁎⁎⁎ (3.40) |
4.03⁎⁎⁎ (3.55) |
|
| pRecoveries | −1.30* (−1.85) |
||
| F-statistics | 17.96⁎⁎⁎ | 17.44⁎⁎⁎ | 14.34⁎⁎⁎ |
| Adj. R2 | 0.30 | 0.38 | 0.40 |
This table summarizes the results for three regression model over the sample period from Jan. 02, 2020 to Apr. 30, 2020. The dependent variable is daily changes in total risk, Δ Risk. Explanatory variables are daily changes in VIX (ΔVIX), daily changes in federal fund target range (ΔFTR), percent of deaths, and percent of recoveries.
*** p<0.01, ** p<0.05, * p<0.10.