. 2020 Sep 28;72:101596. doi: 10.1016/j.irfa.2020.101596

Table 4.

HAR-RV-EPU model parameter estimates.

Index	Observations	β₀	β_d	β_w	β_m	β_EPU	Adjusted R²	∆R²
AEX	5021	0.080	0.452	0.373	0.126	0.007	0.756	0.003
The Netherlands		[0.004]	[0.000]	[0.000]	[0.000]	[0.229]
All Ordinaries	4975	0.079	0.248	0.421	0.241	0.019	0.557	0.102
Australia		[0.029]	[0.000]	[0.000]	[0.000]	[0.007]
BOVESPA	4853	0.168	0.442	0.310	0.155	0.017	0.594	0.106
Brazil		[0.000]	[0.000]	[0.000]	[0.000]	[0.004]
CAC 40	5022	0.094	0.437	0.371	0.144	0.005	0.741	−0.002
France		[0.001]	[0.000]	[0.000]	[0.000]	[0.417]
FTSE MIB	2675	0.166	0.448	0.328	0.144	0.006	0.626	−0.013
Italy		[0.002]	[0.000]	[0.000]	[0.000]	[0.510]
FTSE 100	4998	0.102	0.352	0.389	0.193	0.011	0.662	0.014
United Kingdom		[0.002]	[0.000]	[0.000]	[0.000]	[0.123]
DAX 30	4998	0.081	0.419	0.371	0.166	0.005	0.750	−0.001
Germany		[0.007]	[0.000]	[0.000]	[0.000]	[0.370]
S&P TSX	4392	0.068	0.351	0.346	0.241	0.011	0.683	0.01
Canada		[0.060]	[0.000]	[0.000]	[0.000]	[0.162]
Hang Seng	4829	0.081	0.300	0.367	0.279	0.009	0.663	0.016
China Hong Kong		[0.015]	[0.000]	[0.000]	[0.000]	[0.111]
IBEX 35	4913	0.101	0.448	0.334	0.169	0.004	0.742	−0.004
Spain		[0.000]	[0.000]	[0.000]	[0.000]	[0.484]
KOSPI	4822	0.092	0.433	0.332	0.201	−0.004	0.798	−0.002
South Korea		[0.001]	[0.000]	[0.000]	[0.000]	[0.441]
IPC Mexico	4938	0.171	0.335	0.314	0.256	0.008	0.548	0.002
Mexico		[0.000]	[0.000]	[0.000]	[0.000]	[0.288]
Nikkei 225	4754	0.132	0.465	0.283	0.188	0.004	0.668	−0.007
Japan		[0.000]	[0.000]	[0.000]	[0.000]	[0.538]
S&P CNX Nifty	4841	0.118	0.411	0.327	0.209	0.000	0.695	−0.009
India		[0.002]	[0.000]	[0.000]	[0.000]	[0.943]
S&P 500	5063	0.041	0.473	0.314	0.153	0.020	0.723	0.052
United States		[0.206]	[0.000]	[0.000]	[0.000]	[0.005]
SSEC	4719	0.089	0.502	0.247	0.199	0.008	0.724	0.004
China		[0.021]	[0.000]	[0.000]	[0.000]	[0.229]
Swiss Market Index	4941	0.092	0.467	0.366	0.115	0.006	0.767	0.003
Switzerland		[0.000]	[0.000]	[0.000]	[0.000]	[0.235]
FT Straits Times	1102	0.283	0.307	0.254	0.319	−0.009	0.426	−0.05
Singapore		[0.004]	[0.000]	[0.000]	[0.000]	[0.434]
Euro STOXX 50	5026	0.113	0.336	0.427	0.170	0.011	0.632	0.012
Euro Area		[0.002]	[0.000]	[0.000]	[0.000]	[0.159]

Notes: Columns 1–2 report equity index and observations, columns 3–9 display the parameter estimation, p-values (below the estimates), Adjusted R², and the percent increase of R² (∆R²), respectively.