Table 8.
AR (1) – GJR (1, 1) model estimates
| Brunei | Indonesia | Malaysia | Singapore | Thailand | Vietnam | |
|---|---|---|---|---|---|---|
| CF |
− 0.0115* (0.000) |
− 0.0221* (0.000) |
− 0.0144* (0.001) |
− 0.021* (0.000) |
− 0.0122* (0.001) |
− 0.0323* (0.000) |
| CFI |
0.0011* (0.001) |
0.01231* (0.000) |
0.0034* (0.000) |
0.0422* (0.000) |
0.0031* (0.000) |
0.0022* (0.000) |
| ∅ |
0.0002* (0.000) |
0.0011* (0.001) |
0.0021* (0.000) |
0.0023* (0.000) |
0.0028* (0.000) |
0.0001* (0.000) |
| ∩ |
0.0252* (0.000) |
0.0231* (0.000) |
0.0188* (0.000) |
0.0546* (0.000) |
0.0321* (0.000) |
0.0342* (0.000) |
| β |
0.4322* (0.000) |
0.112* (0.001) |
0.1889* (0.000) |
0.22* (0.000) |
0.432* (0.000) |
0.532* (0.000) |
| ∂ |
0.1124* (0.000) |
0.116* (0.000) |
0.234* (0.001) |
0.385* (0.001) |
0.2231* (0.000) |
0.542* (0.001) |
| Dp |
1.321* (0.000) |
1.98* (0.000) |
2.11* (0.000) |
2.32* (0.000) |
2.88* (0.000) |
2.652* (0.000) |
| Λ |
− 0.2131* (0.000) |
− 0.0121* (0.000) |
0.1887* (0.000) |
− 0.4456* (0.000) |
0.122* (0.000) |
0.0324* (0.000) |
| LL | 2116.21 | 583.11 | 972.00 | 556.11 | 235.34 | 116.56 |
| AIC | − 4211.1 | − 331.66 | − 22.34 | − 221.43 | − 234.24 | − 99.11 |
| BIC | − 2991.21 | − 667.24 | − 211.32 | − 335.121 | − 212.22 | − 985.21 |
CF shows constant factor, CF1 shows COVID-19 fear index, Dp shows dependent variable, β characterized the coefficient of the variance in volatility index, Λ shows the level of autonomy parameter, ∂ is the AR (1) estimation parameter, ∩ and ∅ are the GJR (1, 1) estimation parameters. Significance level (p-value < 0.01, 0.05 and 0.10)