TABLE 6.

Long-run and short-run parameters of ARDL model C.

Variable	Coefficient	Standard error	t-Statistic	Probability	Variable	Coefficient	Standard error	t-Statistic	Probability
Short-run
D[VIX(−1)]	–0.121317	0.07492	–1.61	0.15	D(IRC)	0.025592	0.00486	5.265	0.00
D(CHNC)	–0.000835	0.00029	–2.84	0.02	D[IRC(−1)]	0.047561	0.007196	–6.609	0.00
D[CHNC(−1)]	0.002225	0.00036	6.085	0.00	D[IRC(−2)]	0.041762	0.00475	–8.791	0.00
D[CHNC(−2)]	0.002097	0.00039	5.338	0.00	D(IRD)	0.220182	0.055997	3.932	0.00
D(CHND)	0.025387	0.02166	1.171	0.28	D[IRD(−1)]	0.323953	0.080449	4.026	0.00
D[CHND(−1)]	–0.049799	0.02089	–2.38	0.05	D[IRD(−2)]	0.353056	0.118423	–2.981	0.02
D[CHND(−2)]	–0.074943	0.01340	–5.59	0.00	D(PAKC)	0.123498	0.024374	5.066	0.00
D(JAPC)	0.126562	0.03972	3.185	0.01	D[PAKC(−1)]	0.086263	0.03167	2.723	0.03
D[JAPC(−1)]	0.215088	0.04080	5.271	0.00	D[PAKC(−2)]	0.104221	0.028715	3.629	0.01
D[JAPC(−2)]	0.141362	0.04823	2.93	0.02	ECTt-1	–0.718286	0.0633	–11.34	0.00
D(JAPD)	1.042896	0.53948	1.933	0.10	R-squared	0.970102
D[JAPD(−1)]	–3.581338	0.80170	–4.46	0.00	Adjusted R-squared	0.923118
D[JAPD(−2)]	–4.013693	0.78239	–5.13	0.00	Durbin-Watson	2.052251
Long-run
CHNC	–0.00502	0.00062	–8.00	0.00	IRC	0.048397	0.008973	5.393	0.00
CHND	0.078293	0.03507	2.232	0.06	IRD	–0.416392	0.171506	0.427	0.51
JAPC	–0.292012	0.17807	–1.63	0.15	PAKC	0.051902	0.125891	0.412	0.69
JAPD	15.83017	3.28179	4.823	0.00	C	26.98563	2.103817	12.82	0.00

Author’s calculation.