Table 4 Estimation Results of Stepwise Predictive Regression Models and Robustness of Parameter Estimates: 01/01/2019–06/30/2020
From: COVID-19 and instability of stock market performance: evidence from the U.S.
| Â | Least-Square Regression Statistics | Â | Â | Outlier Robust Statisticsa | Â | Â | Heteroskedasticity and Serial Correlation Statisticsb | Â | Â |
|---|---|---|---|---|---|---|---|---|---|
| Â | Estimate | Adjusted \({R}^{2}\) | RMSE | Estimate | Adjusted \({R}^{2}\) | RMSE | Estimate | Adjusted \({R}^{2}\) | RMSE |
Model I: \({R}_{t}^{S\&P 500}={\beta }_{0}^{S\&P 500}+{\beta }_{1}^{S\&P 500}{DS}_{t-1}^{US}+{\beta }_{2}^{S\&P 500}{R}_{t-1}^{S\&P 500}+{\varepsilon }_{t}\) | |||||||||
\({\widehat{\beta }}_{0}^{S\&P 500}\) | − 0.0050 (0.0017***) | 0.1352 | 0.0073 | − 0.0035 (0.0008***) | 0.1905 | 0.0037 | − 0.0050 (0.0021**) | 0.1352 | 0.0073 |
\({\widehat{\beta }}_{1}^{S\&P 500}\) | 0.0050 (0.0015***) | Â | Â | 0.0043 (0.0008***) | Â | Â | 0.0050 (0.0020**) | Â | Â |
\({\widehat{\beta }}_{2}^{S\&P 500}\) | − 0.3608 (0.0485***) |  |  | − 0.1384 (0.0254***) |  |  | − 0.3608 (0.1054***) |  |  |
Model II:\({R}_{t}^{DJIA}={\beta }_{0}^{DJIA}+{\beta }_{1}^{DJIA}{{DS}_{t-1}^{US}+\beta }_{2}^{DJIA}{R}_{t-1}^{DJIA}+{\varepsilon }_{t}\) | |||||||||
\({\widehat{\beta }}_{0}^{DJIA}\) | − 0.0052 (0.0018***) | 0.1146 | 0.0079 | − 0.0035 (0.0009***) | 0.1322 | 0.0038 | − 0.0052 (0.0021**) | 0.1146 | 0.0079 |
\({\widehat{\beta }}_{1}^{DJIA}\) | 0.0050 (0.0017***) | Â | Â | 0.0042 (0.0008***) | Â | Â | 0.0050 (0.0022**) | Â | Â |
\({\widehat{\beta }}_{2}^{DJIA}\) | − 0.3316 (0.0490***) |  |  | − 0.2354 (0.0248***) |  |  | − 0.3316 (0.1022***) |  |  |