Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market

Table 10

QARDL estimation results: pandemic period (independent variable: VIX).

Quantile (τ)	0.25		0.50		0.75
Variables	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)
Short run
Const	0.0000	1.0000	−63.9677	0.0000	−99.6605	0.0000
AL_1	−0.8789	0.0000	−0.8620	0.0000	−0.8851	0.0000
VIX	6.5618	0.0000	17.4952	0.0000	26.9971	0.0000
VIX_1	0.6543	0.6841	−2.8567	0.2789	1.5695	0.6480
VIX_2	−7.2161	0.0000	−3.6110	0.1460	−20.7887	0.0000
VIX_3	0.0000	1.0000	−14.7843	0.0000	−9.0325	0.0056
VIX_4	0.0000	1.0000	8.5085	0.0000	11.1100	0.0000
Long run
VIX	7.4658	0.0000	20.2956	0.0000	30.5008	0.0000
VIX_1	0.7444	0.6827	−3.3140	0.2870	1.7732	0.6448
VIX_2	−8.2102	0.0000	−4.1890	0.1456	−23.4867	0.0000
VIX_3	0.0000	1.0000	−17.1508	0.0000	−10.2047	0.0048
VIX_4	0.0000	1.0000	9.8705	0.0000	12.5518	0.0000

Note. Table 10 reports the QARDL estimation results of the effect of VIX on the illiquidity market during the pandemic period that spans from December 31, 2019, to December 31, 2020. Significant at 10%; significant at 5%; significant at 1%.