Table 2.
Descriptive statistics of daily data S&P 500, US EPU, VIX and COVID-19 cases/deaths.
| First wave of COVID-19 | |||||
|---|---|---|---|---|---|
| S&P 500 | EPU | VIX | Cases | Deaths | |
| Min | −12.76522 | −77.8809 | −26.6228 | 0.000 | 0.000 |
| Max | 8.96832 | 144.8161 | 38.2167 | 178.161 | 113.635 |
| Range | 21.73354 | 222.6970 | 64.8394 | 178.161 | 113.635 |
| Median | 0.18418 | −1.1564 | −1.2072 | 5.585 | 5.907 |
| Mean | −0.01693 | 0.9279 | 0.7322 | 11.546 | 12.775 |
| S.E. mean | 0.31413 | 3.1539 | 1.1193 | 2.217 | 2.060 |
| Var | 9.96637 | 1004.6517 | 126.5385 | 496.431 | 428.403 |
| Std. dev. | 3.15696 | 31.6962 | 11.2489 | 22.281 | 20.698 |
| Coef. var. | −186.49388 | 34.1587 | 15.3629 | 1.930 | 1.620 |
| JB | 54 | 61 | 45 | 5200 | 830 |
| Prob. | 2e-12 | 5e-14 | 2e-10 | < 2e-16 | < 2e-16 |
| ARCH (12) | 37 | 13 | 23 | 75 | 67 |
| Prob. | 2e-04 | 0.4 | 0.03 | 4e-11 | 1e-09 |
| Second wave of COVID-19 | |||||
| Min | −6.0753 | −63.1028 | −12.2421 | 0.8317 | 0.45687 |
| Max | 3.1015 | 58.6848 | 39.1709 | 7.3858 | 5.85851 |
| Range | 9.1768 | 121.7876 | 51.4130 | 6.5541 | 5.40164 |
| Median | 0.3590 | 0.5865 | −1.1041 | 1.8011 | 1.11765 |
| Mean | 0.1348 | −0.8796 | −0.1874 | 2.3205 | 1.48414 |
| S.E. mean | 0.1338 | 2.6225 | 0.7409 | 0.1555 | 0.09679 |
| Var. | 1.8088 | 694.6205 | 55.4387 | 2.4437 | 0.94613 |
| Std. dev. | 1.3449 | 26.3557 | 7.4457 | 1.5632 | 0.97269 |
| Coef. var. | 9.9763 | −29.9622 | −39.7228 | 0.6737 | 0.65539 |
| JB | 92 | 0.71 | 280 | 73 | 120 |
| Prob. | < 2e-16 | 0.7 | < 2e-16 | < 2e-16 | < 2e-16 |
| ARCH (12) | 6 | 11 | 1.2 | 53 | 61 |
| Prob. | 0.9 | 0.6 | 1 | 5e-07 | 2e-08 |
Note: S.E., Var., Coef. var., and Std. dev. stand for standard errors, variance, coefficient of variance, and standard deviation, respectively. JB is the Jarque-Bera test with the null hypothesis of normality. ARCH is the autoregressive heteroskedasticity test. < 2e-16 indicate the rejection of the null hypothesis at the 1% significance level.