Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Table 2

Results of augmented Dickey–Fuller and Phillips–Perron unit root tests for each stock market index (Dow Jones Industrial Average, S&P 500, and NASDAQ Composite), Crude Oil price, and COVID-19 confirmed cases.

Variables	ADF test (with intercept)		ADF test (with trend and intercept)		PP test (with intercept)		PP test (with trend and intercept)
	Level	1st difference	Level	1st difference	Level	1st difference	Level	1st difference
Crude Oil	−1.813368 (1)	−74.18251 (0)	−1.451348 (1)	−74.19782 (0)	−1.851205 (10)	−74.15676 (10)	−1.487574 (9)	−74.17632 (10)
DJI	−0.589078 (9)	−21.95618 (8)	−2.502465 (9)	−21.96959 (8)	−0.561936 (22)	−82.15463 (21)	−2.445644 (23)	−82.15622 (20)
S&P 500	−0.300921 (9)	−22.33898 (8)	−2.541671 (9)	−22.38022 (8)	−0.304412 (20)	−82.90155 (19)	−2.578981 (20)	−82.96314 (18)
NASDAQ Composite	0.340195 (9)	−22.89305 (8)	−2.983702 (9)	−23.02818 (8)	0.172873 (17)	−81.56604 (16)	−3.619394 (16)	−81.75234 (14)
COVID-19 cases	40.89298 (30)	51.75262 (31)	41.05363 (30)	51.64084 (31)	264.3043 (42)	−34.20378 (34)	262.4940 (42)	−34.44749 (34)