Table 4.

Basic volatility model.

	(1)	(2)	(3)
Variables	RET	Conditional Variance Process	Conditional Variance Process
RETt-1	0.0003
	(0.0251)
RVX	−0.0643***
	(0.0065)
LVO	0.0003
	(0.0005)
LOP	0.0469***
	(0.0046)
LGD	0.0001
	(0.0003)
CTC	−0.0017***	4.3095***	2.2169
	(0.0003)	(0.5176)	(6.1079)
CTD	−0.0079***	2.7830***	−5.9128
	(0.0008)	(0.3749)	(4.7610)
CSC	0.0003	0.0561*	1.1170**
	(0.0019)	(0.0314)	(0.5408)
CSD	−0.0051*	0.2407***	1.5135**
	(0.0029)	(0.0395)	(0.6985)
RES		–	−0.2890***
			(0.0469)
RES*CTC		–	0.4601
			(1.4461)
RES*CTD		–	2.2313**
			(1.1241)
RES*CSC		–	−0.2414*
			(0.1237)
RES*CSD		–	−0.2904*
			(0.1593)
$\alpha$		0.0077	0.0008
		(0.0145)	(0.0139)
$\gamma$		0.4928***	0.4702***
		(0.0208)	(0.0213)
$\delta$		0.3987***	0.3325***
		(0.0397)	(0.0385)
${\lambda }_0$		−5.3731***	−4.7474***
		(0.3449)	(0.3695)
p-value for equality of CTC and CTD	0.016	0.000
p-value for equality of CTC and CTD	0.015	0.000
Observation	9,848	5,989	5,989
R2	0.1844
No. of countries	34
Time FE	Yes	No	No
Country FE	Yes	No	No

Note: This table shows the results of our conditional mean Eq. (1) using a dynamic panel model with fixed effects in column one. We capture the conditional variance process from Eq. (1) using EGARCH (1,1) in column two. Therefore, columns (1) and (2) are referred to as our basic return and volatility model, respectively. Our remaining analysis is based on the conditional variance process reported in column (2) of this table. Column (3) reports the results related to the impact of country-level resilience (RES) and its interaction with COVID-19 cases and deaths on volatility (Eq. (7)).

***, ** and * indicates statistical significance at the 1%, 5% and 10% levels, respectively.