TABLE 5.

Long-run and short-run parameters of model B.

Variable	Coefficient	Standard error	t-Statistic	Probability	Variable	Coefficient	Standard error	t-Statistic	Probability
Short-run
D[VIX(−1)]	0.320184	0.071133	4.5012	0.00	D(NETD)	–37.1194	3.477211	–10.67	0
D[VIX(−2)]	0.433447	0.091629	4.7304	0.00	D[NETD(−1)]	–154.4663	13.54778	–11.40	0
D(USD)	–6.027666	0.455287	–13.239	0	D[NETD(−2)]	–128.413	10.72135	–11.97	0
D[USD(−1)]	–15.10811	1.35129	–11.180	0	D(FRC)	0.581531	0.049238	11.810	0
D[USD(−2)]	–10.79734	1.108114	–9.7438	0	D[FRC(−1)]	1.182217	0.104662	11.295	0
D(USC)	0.152815	0.013592	11.2426	0	D[FRC(−2)]	0.785776	0.069238	11.348	0
D[USC(−1)]	0.192244	0.015738	12.2155	0	ECTt-1	–0.337813	0.029974	–11.27	0
D(SWC)	–0.633202	0.056824	–11.143	0	R-squared
D[SWC(−1)]	–3.696133	0.32525	–11.363	0	Adjusted R-squared
D[SWC(−2)]	–2.134	0.189695	–11.249	0	Durbin-Watson
Long-run					NETD	19.85601	61.55645	0.3225	0.75
USD	40.38965	17.49182	2.3090	0.0317	NETC	–12.63964	6.054786	–2.087	0.05
USC	–0.439103	0.143477	–3.060	0.0062	FRD	39.32385	17.16386	2.291	0.03
SWD	63.43783	31.56593	2.0096	0.0581	FRC	–0.952051	0.427182	–2.228	0.03
SWC	11.93463	4.233947	2.8187	0.0106	C	17.22974	1.53559	11.220	0

Author’s calculation.