Table 3.

TGARCH results of the effects of the COVID-19 lockdown on BTI and DGH share prices.

Variable	BTI		DGH
	Coefficient	Z-statistic	Coefficient	Z-statistic
Mean equation
${\propto }_0$	0.00076	0.065	−0.039	−0.466
$r_{t-1}$	0.086	1.053	−0.088	−1.193
Variance equation
${\propto }_0$	0.104**	2.193	0.148**	2.552
${\beta }_1$	0.91***	35.47	0.638***	10.939
${\propto }_1$	−0.048**	−2.074	0.204***	2.830
$\delta$	0.274***	4.755	0.383**	2.350

Model summary
${\propto }_1+\delta$	0.226($<1$)	0.587 ($<1$)
Log likelihood	−500.882	−487.400
Durban Watson statistic	2.055	1.705
Alkaike Information Criterion	4.104	3.995
Schwatz Criterion	4.190	4.080
Diagnostics
ARCH LM Test	1.100 ($p$ =0.334)	0.150 ($p$ = 0.699)
Collelogram of standardized residuals	$p$ = 0.223	$p$ = 0.524
Collelogram of standardized residuals squared	$p$ = 0.347	$p$ = 0.696
Jarque-Bera Test	23.50 ($p$ =0.000)	9.89 ($p$ =0.007)

Sig at **5%, ***1%.