Table 5 The effects of EPU on stock market crash risk
From: Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Variables | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
Intercept | 0.0004 (0.2392) | 0.0004 (0.2380) | 0.0004 (0.2387) | 0.0004 (0.2343) |
Skew(t−1) | 0.2032*** (6.2845) | 0.2037*** (6.2869) | 0.2037*** (6.2830) | 0.2042*** (6.3040) |
rEPU(t) |  − 0.0089** (− 2.3390) |  − 0.0084** (− 1.9999) |  − 0.0087** (− 2.0153) |  − 0.0070 (− 1.5786) |
rEPU(t−1) |  | 0.0012 (0.2821) | 0.0005 (0.1060) | 0.0030 (0.5939) |
rEPU(t−2) |  |  |  − 0.0013 (− 0.3035) | 0.0027 (0.5414) |
rEPU(t−3) |  |  |  | 0.0070 (1.5728) |
N | 917 | 917 | 917 | 917 |
R2 | 0.0460 | 0.0461 | 0.0462 | 0.0487 |
Adj-R2 | 0.0438 | 0.0429 | 0.0420 | 0.0435 |
AIC |  − 2.9444 |  − 2.9423 |  − 2.9402 |  − 2.9407 |
SC |  − 2.9286 |  − 2.9213 |  − 2.9139 |  − 2.9092 |