Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Table 3

Unit root ADF test results.

Variable	ADF	1%	5%	P	Conclusion
NCSKEW	−7.0362	−3.4591	−2.8741		Stable
DUVOL	−14.5749	−3.4590	−2.8740		Stable
CF	−3.5315	−3.4591	−2.8741		Stable
E	−1.0883	−3.4591	−2.8741		Unstable
ΔE	−9.6433	−3.4591	−2.8741		Stable
SPV	−3.6990	−3.4590	−2.8740		Stable
DJIAV	−3.6979	−3.4590	−2.8740		Stable