Table 1.
Summary statistics and residual based tests.
| Pre-COVID Announcement | Post-COVID Announcement | ||||
|---|---|---|---|---|---|
| Gold return | VIX | Gold return | VIX | ||
| Mean | 0.0154 | 15.0844 | 0.1443 | 33.1079 | |
| Std. | 0.6978 | 2.6298 | 1.4162 | 18.5992 | |
| Skw | −0.1385 | 0.7649 | 0.4901 | 0.6708 | |
| Kurt | 5.1160 | 2.5738 | 8.8629 | 2.6207 | |
| Autocorrelation | k = 2 | 0.0056 | 0.8690 | 1.7790 | 17.601*** |
| k = 4 | 4.9598 | 2.6216 | 2.8022 | 22.427*** | |
| k = 6 | 5.1649 | 4.4544 | 14.666** | 24.633*** | |
| Heteroscedasticity | k = 2 | 0.1592 | 9.3194*** | 0.2678 | 15.9213*** |
| k = 4 | 0.1590 | 4.3412*** | 0.2089 | 8.9520*** | |
| k = 6 | 0.2033 | 2.0404* | 2.6935** | 7.1367*** | |
Note: Std is standard deviation, Skw is skewness, Kurt is Kurtosis. For autocorrelation and heteroscedasticity tests, the reported values are the Ljung-Box test Q-statistics for the former and the ARCH-LM test F-statistics in the case of the latter. We consider three different lag lengths (k) of 2, 4, and 6 for robustness. The null hypothesis for the autocorrelation test is that there is no serial correlation, while the null for the ARCH-LM (F distributed) test is that there is no conditional heteroscedasticity. *** and ** & * imply the rejection of the null hypothesis in both cases at 1%, 5% & 10% levels of significance, respectively.