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

Table 7

QARDL estimation results: tranquil period (independent variables: EPU and VIX).

Quantile (τ)	0.25		0.50		0.75
Variables	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)
Short run
Const	−19.3420	0.0010	−97.6988	0.0000	−165.1745	0.0003
AL_1	−0.9785	0.0000	−1.0112	0.0000	−1.1233	0.0000
AL_2	−0.0410	0.0022	−0.1959	0.0000	−0.1089	0.2947
AL_3	−0.0414	0.0018	−0.0611	0.0758	0.0437	0.6697
AL_4	−0.0687	0.0000	−0.1528	0.0000	−0.0957	0.3516
VIX	1.9122	0.0225	8.7795	0.0001	16.1512	0.0134
EPU	−0.0618	0.0011	−0.1363	0.0058	−0.1477	0.3136
VIX_1	0.3140	0.7174	1.6812	0.4582	3.9019	0.5639
EPU_1	0.0432	0.0227	0.0446	0.3659	−0.2271	0.1233
Long run
AL_2	−0.0419	0.0021	−0.1937	0.0000	−0.0969	0.2963
AL_3	−0.0423	0.0015	−0.0604	0.0726	0.0389	0.6717
AL_4	−0.0702	0.0000	−0.1511	0.0000	−0.0852	0.3516
VIX	1.9542	0.0223	8.6821	0.0001	14.3783	0.0177
EPU	−0.0631	0.0010	−0.1348	0.0057	−0.1315	0.3154
VIX_1	0.3209	0.7168	1.6625	0.4544	3.4736	0.5578
EPU_1	0.0441	0.0226	0.0441	0.3673	−0.2022	0.1202

Note. Table 7 reports the QARDL estimation results of the effect of EPU and 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%.