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GARCHX assessment SMVI movement
| Average | Variance | |
|---|---|---|
| C |
0.029 (0.19) |
– |
| SMVI-COVID-19 |
− 0.548* (0.001) |
– |
| GFI Index |
− 1.432* (0.001) |
– |
| Constant | – |
0.0021* (0.000) |
| Heterogeneity (-1) | – |
0.2135* (0.000) |
| η 2 (−1) | – |
0.114* (0.0001 |
| Assessment | ||
| LM test for heteroscedasticity | (0.59) | (0.63) |
SMVI stands for Stock Market Volatility Index while FGI stands for global fear volatility index
