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

Table 5

QARDL estimation results: tranquil 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	−25.2174	0.0000	−99.0549	0.0000	−164.2426	0.0011
AL_1	−0.9823	0.0000	−1.0034	0.0000	−1.0581	0.0000
AL_2	−0.0414	0.0001	−0.2121	0.0000	−0.1307	0.2516
AL_3	−0.0445	0.0000	−0.0600	0.1790	−0.0642	0.5666
AL_4	−0.0518	0.0000	−0.1484	0.0009	−0.0617	0.5800
VIX	0.8705	0.1791	8.6879	0.0023	13.3339	0.0611
VIX_1	1.5240	0.0248	1.2874	0.6632	3.7439	0.6143
Long run
AL_2	−0.0421	0.0001	−0.2113	0.0000	−0.1236	0.2548
AL_3	−0.0453	0.0000	−0.0598	0.1744	−0.0607	0.5628
AL_4	−0.0528	0.0000	−0.1479	0.0009	−0.0584	0.5793
VIX	0.8862	0.1789	8.6582	0.0027	12.6013	0.0715
VIX_1	1.5515	0.0233	1.2830	0.6612	3.5382	0.6088

Note. Table 5 reports the QARDL estimation results of the effect of VIX on the illiquidity market during the tranquil period that spans from January 01, 2019, to December 30, 2019. Significant at 10%; significant at 5%; significant at 1%.