COVID-19 and instability of stock market performance: evidence from the U.S.

Financial Innovation

Table 9 Xu (2013)’s Test Statistics for Breaks: 01/01/2019–06/30/2020

Model	\(\widehat{Q}\) Statistic	\(\widehat{L}\) Statistic	Breakpoint	No of Obs.
Panel A: S&P 500
GARCH (1,1)	1.3766**	9.8543**	2020.02.21	377
Panel B: DJIA
GARCH (1,1)	1.3699**	9.7405**	2020.02.21	377

Table 9 reports the results of modified CUSUM and LM tests for structural breaks in volatilites of both S&P 500 and DJIA over the period January 1st, 2019 to June 30th, 2020. The modified CUSUM test allows for multiple structural breaks while the modified LM test only allows for a single break. The bandwidth is selected by cross validation. \(\widehat{Q}\) is the modified CUSUM test statistic and \(\widehat{L}\) is the modified LM test statistic
**indicates significance at the 5% level