Table 8 Tests for GARCH effect: 01/01/2019–06/30/2020
From: COVID-19 and instability of stock market performance: evidence from the U.S.
| Â | \({\alpha }_{0}\) | \({\alpha }_{1}\) | \({\alpha }_{2}\) | \({\beta }_{1}\) | \({\beta }_{2}\) | L | BIC |
|---|---|---|---|---|---|---|---|
Panel A: S&P 5000 | |||||||
GARCH (1,1) | 0.0000 (0.0000***) | 0.2642 (0.0038***) | – | 0.7356 (0.0018***) | – | 1503.0000 | − 5.9455 |
GARCH (2,1) | 0.0000 (0.0000***) | 0.1810 (0.0104**) | 0.1606 (0.0093***) | 0.6582 (0.0011***) | – | 1504.5000 | − 5.8902 |
GARCH (2,2) | 0.0000 (0.0000***) | 0.1803 (0.0085***) | 0.3224 (0.0040***) | 0.0833 (0.0011***) | 0.4138 (0.0011***) | 1505.2000 | − 5.8865 |
Panel B: DJIA | |||||||
GARCH (1,1) | 0.0000 (0.0000***) | 0.2477 (0.0041***) | – | 0.7521 (0.0021***) | – | 1486.7000 | − 5.9201 |
GARCH (2,1) | 0.0000 (0.0000***) | 0.1409 (0.0051***) | 0.1709 (0.0049***) | 0.6835 (0.0088 ***) | – | 1488.5000 | − 5.8764 |
GARCH (2,2) | 0.0000 (0.0000***) | 0.1383 (0.0016***) | 0.3316 (0.0195**) | 0.0949 (0.0073***) | 0.4350 (0.0030***) | 1489.4000 | − 5.8658 |