Table 5.

Impact of Resilience Score.

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Var.	Conditional Variance Process
CTC	4.3020***	4.0567***	4.1910***	4.3933***	4.3159***	4.3071***	4.4816***	4.2993***	4.2842***	4.1902***	4.2002***	3.9934***
	(0.5228)	(0.5319)	(0.5231)	(0.5176)	(0.5175)	(0.5226)	(0.5212)	(0.5232)	(0.5196)	(0.5259)	(0.5261)	(0.5478)
CTD	2.7650***	3.8377***	3.2195***	2.5552***	2.6472***	2.7916***	2.0794***	2.9027***	2.7392***	2.4677***	2.4600***	3.4363***
	(0.3753)	(0.3772)	(0.3754)	(0.3744)	(0.3749)	(0.3754)	(0.3794)	(0.3755)	(0.3751)	(0.3801)	(0.3800)	(0.3896)
CSC	0.0565*	0.0745**	0.0790**	0.0548*	0.0517	0.0479	0.0530	0.0455	0.0412	0.0503	0.0503	0.0608
	(0.0308)	(0.0331)	(0.0312)	(0.0311)	(0.0317)	(0.0312)	(0.0327)	(0.0317)	(0.0317)	(0.0316)	(0.0314)	(0.0376)
CSD	0.2395***	0.1995***	0.2002***	0.2445***	0.2479***	0.2496***	0.2462***	0.2567***	0.2614***	0.2510***	0.2508***	0.2152***
	(0.0388)	(0.0417)	(0.0393)	(0.0392)	(0.0400)	(0.0393)	(0.0405)	(0.0400)	(0.0400)	(0.0399)	(0.0396)	(0.0466)
RES	−0.2068***
	(0.0233)
CPS		−0.8825***										−0.8868***
		(0.0783)										(0.1128)
COG			−0.4614***									−0.2955***
			(0.0471)									(0.0686)
MPR				0.0104***								−0.0029
				(0.0025)								(0.0040)
LGD					−0.0085							−0.0170
					(0.0066)							(0.0104)
PRO						−0.1247***						0.0238
						(0.0132)						(0.0438)
OIN							0.1426**					0.0871
							(0.0566)					(0.0696)
INQ								−0.0045***				−0.0012
								(0.0005)				(0.0017)
HEL									−0.6739***			−0.2958
									(0.0979)			(0.2202)
FDI										−0.1704***		0.5320***
										(0.0459)		(0.0979)
FII											−0.1860***
											(0.0452)
$\alpha$	−0.0016	−0.0115	−0.0135	−0.0001	0.0003	−0.0034	0.0108	−0.0020	−0.0015	0.0094	0.0090	0.0033
	(0.0137)	(0.0144)	(0.0149)	(0.0135)	(0.0135)	(0.0137)	(0.0142)	(0.0136)	(0.0136)	(0.0137)	(0.0138)	(0.0166)
$\gamma$	0.4820***	0.4527***	0.4654***	0.4896***	0.4912***	0.4778***	0.5101***	0.4770***	0.4845***	0.4966***	0.4951***	0.4750***
	(0.0210)	(0.0219)	(0.0219)	(0.0208)	(0.0207)	(0.0211)	(0.0211)	(0.0211)	(0.0209)	(0.0210)	(0.0211)	(0.0240)
$\delta$	0.4031***	0.3169***	0.3671***	0.4232***	0.4075***	0.3963***	0.4570***	0.3832***	0.4019***	0.4382***	0.4397***	0.3449***
	(0.0408)	(0.0387)	(0.0389)	(0.0418)	(0.0402)	(0.0411)	(0.0426)	(0.0402)	(0.0410)	(0.0425)	(0.0427)	(0.0404)
${\lambda }_0$	−4.4659***	−2.3794***	−3.6847***	−5.1830***	−5.2460***	−4.9949***	−5.4617***	−5.1604***	−2.4101***	−4.9047***	−4.8761***	−0.1527
	(0.3462)	(0.4036)	(0.3434)	(0.3621)	(0.3472)	(0.3496)	(0.4403)	(0.3434)	(0.5156)	(0.3681)	(0.3701)	(1.0911)
Obs.	5,989	5,989	5,989	5,989	5,989	5,989	5,812	5,989	5,989	5,812	5,812	5,635

Note: This table exhibits the impact of COVID-19, country-level resilience, resilience’s sub-components and other macro characteristics on the volatility of equity markets within our sample countries. We estimated each of these conditional variance processes using Eq. (6). From column (1) to (11) we follow the stepwise models and in column (12) we present the simultaneous association. However, the resilience score is excluded in column (12) as its sub-components are considered, such as governance (COG), productivity (PRO), oil intensity (OIN) and infrastructure quality (INF). Similarly, we excluded Financial institutions development index (FII) in the simultaneous model as we have included the aggregate development index FDI. The robust standard errors are reported in parentheses.

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