Table 9 NARDL long-run and short-run estimates (daily number of new reported COVID-19 deaths worldwide included)
Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
\(\mathrm{ECT}\) | −1.116812*** (0.041939) | \(\mathrm{ECT}\) | −1.116606*** (0.042457) | \(\mathrm{ECT}\) | −1.139712*** (0.042209) | \(\mathrm{ECT}\) | −1.111821*** (0.042456) | \(\mathrm{ECT}\) | −1.122604*** (0.044665) | \(\mathrm{ECT}\) | −1.115852*** (0.042691) |
Long-run and short-run coefficients | |||||||||||
Const | 0.037845* (0.020121) | Const | 0.036905 (0.023711) | Const | 0.009091 (0.019562) | Const | 0.005528 (0.0204) | Const | 0.029139 (0.025177) | Const | 0.013151 (0.018507) |
\({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.116812*** (0.046306) | \({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.116606*** (0.046718) | \({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.139712*** (0.046655) | \({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.111821*** (0.04682) | \({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.122604*** (0.047313) | \({\mathrm{BTC}}_{\mathrm{t}-1}\) | −1.115852*** (0.047035) |
\({\mathrm{PI}}^{+}\) | 0.009361*** (0.0028) | \({\mathrm{HI}}^{+}\) | 0.001105** (0.000509) | \({\mathrm{FNI}}_{\mathrm{t}-1}^{+}\) | 0.034807*** (0.010502) | \({\mathrm{SI}}_{\mathrm{t}-1}^{+}\) | −0.000186 (0.000185) | \({\mathrm{II}}^{+}\) | 0.00106 (0.000738) | \({\mathrm{MCI}}^{+}\) | 0.000833 (0.000614) |
\({\mathrm{PI}}^{-}\) | 0.00761*** (0.002428) | \({\mathrm{HI}}^{-}\) | 0.000804** (0.000367) | \({\mathrm{FNI}}_{\mathrm{t}-1}^{-}\) | 0.032153*** (0.010253) | \({\mathrm{SI}}^{-}\) | −0.000142 (0.000123) | \({\mathrm{II}}^{-}\) | 0.000773 (0.000625) | \({\mathrm{MCI}}^{-}\) | 0.000551 (0.000574) |
\({\mathrm{CND}}^{+}\) | −0.005202* (0.002734) | \({\mathrm{CND}}^{+}\) | −0.009405* (0.005348) | \({\mathrm{CND}}^{+}\) | −0.000274 (0.002605) | \({\mathrm{CND}}^{+}\) | 0.000807 (0.003295) | \({\mathrm{CND}}^{+}\) | −0.005593 (0.005954) | \({\mathrm{CND}}^{+}\) | −0.004821 (0.005061) |
\({\mathrm{CND}}^{-}\) | −0.002266 (0.002923) | \({\mathrm{CND}}^{-}\) | −0.008832 (0.00572) | \({\mathrm{CND}}^{-}\) | 0.001366 (0.00347) | \({\mathrm{CND}}^{-}\) | 0.001856 (0.003396) | \({\mathrm{CND}}^{-}\) | −0.003345 (0.005912) | \({\mathrm{CND}}^{-}\) | −0.003289 (0.004963) |
\({\mathrm{VIX}}^{+}\) | −0.162725*** (0.023302) | \({\mathrm{VIX}}^{+}\) | −0.164996*** (0.023639) | \({\mathrm{VIX}}^{+}\) | −0.166015*** (0.023594) | \({\mathrm{VIX}}^{+}\) | −0.160503*** (0.024179) | \({\mathrm{VIX}}_{\mathrm{t}-1}^{+}\) | −0.204128*** (0.039936) | \({\mathrm{VIX}}^{+}\) | −0.163046*** (0.023716) |
\({\mathrm{VIX}}^{-}\) | −0.159668*** (0.022556) | \({\mathrm{VIX}}^{-}\) | −0.162656*** (0.022708) | \({\mathrm{VIX}}^{-}\) | −0.163032*** (0.022781) | \({\mathrm{VIX}}^{-}\) | −0.163949*** (0.022803) | \({\mathrm{VIX}}^{-}\) | −0.202144*** (0.039239) | \({\mathrm{VIX}}^{-}\) | −0.162773*** (0.022816) |
|  |  |  |  | \(\Delta {\mathrm{FNI}}^{+}\) | 0.023703* (0.012186) | \({\mathrm{\Delta SI}}^{+}\) | 0.000817* (0.000485) | \(\Delta {\mathrm{VIX}}^{+}\) | −0.143825*** (0.027046) |  |  |
|  |  |  |  | \({\mathrm{\Delta FNI}}_{\mathrm{t}-1}^{+}\) | −0.036948** (0.016707) |  |  |  |  |  |  |
|  |  |  |  | \(\Delta {\mathrm{FNI}}^{-}\) | −0.019016 (0.016799) |  |  |  |  |  |  |
Long-run asymmetric effects | |||||||||||
\({L}_{PI}^{+}\) | 0.008382*** (0.002516) | \({L}_{HI}^{+}\) | 0.00099** (0.000455) | \({L}_{FNI}^{+}\) | 0.03054*** (0.009151) | \({L}_{SI}^{+}\) | −0.000167 (0.000167) | \({L}_{II}^{+}\) | 0.000944 (0.000653) | \({L}_{MCI}^{+}\) | 0.000747 (0.000547) |
\({L}_{PI}^{-}\) | 0.006814*** (0.002182) | \({L}_{HI}^{-}\) | 0.00072** (0.000328) | \({L}_{FNI}^{-}\) | 0.028211*** (0.008947) | \({L}_{SI}^{-}\) | −0.000128 (0.00011) | \({L}_{II}^{-}\) | 0.000688 (0.000554) | \({L}_{MCI}^{-}\) | 0.000494 (0.000513) |
\({L}_{CND}^{+}\) | −0.004658* (0.002461) | \({L}_{CND}^{+}\) | −0.008423* (0.004792) | \({L}_{CND}^{+}\) | −0.00024 (0.002286) | \({L}_{CND}^{+}\) | 0.000726 (0.002963) | \({L}_{CND}^{+}\) | −0.004982 (0.005291) | \({L}_{CND}^{+}\) | −0.00432 (0.004528) |
\({L}_{CND}^{-}\) | −0.002029 (0.002625) | \({L}_{CND}^{-}\) | −0.00791 (0.005131) | \({L}_{CND}^{-}\) | 0.001199 (0.00304) | \({L}_{CND}^{-}\) | 0.001669 (0.00305) | \({L}_{CND}^{-}\) | −0.00298 (0.005263) | \({L}_{CND}^{-}\) | −0.002947 (0.004446) |
\({L}_{VIX}^{+}\) | −0.145705*** (0.022474) | \({L}_{VIX}^{+}\) | −0.147766*** (0.022813) | \({L}_{VIX}^{+}\) | −0.145664*** (0.022364) | \({L}_{VIX}^{+}\) | −0.14436*** (0.023399) | \({L}_{VIX}^{+}\) | −0.181835*** (0.036636) | \({L}_{VIX}^{+}\) | −0.146118*** (0.022908) |
\({L}_{VIX}^{-}\) | −0.142967*** (0.021791) | \({L}_{VIX}^{-}\) | −0.14567*** (0.021982) | \({L}_{VIX}^{-}\) | −0.143047*** (0.021637) | \({L}_{VIX}^{-}\) | −0.14746*** (0.022206) | \({L}_{VIX}^{-}\) | −0.180067*** (0.036004) | \({L}_{VIX}^{-}\) | −0.145873*** (0.022114) |
Const | 0.033886* (0.018053) | Const | 0.033051 (0.021246) | Const | 0.007977 (0.017155) | Const | 0.004972 (0.018348) | Const | 0.025956 (0.022367) | Const | 0.011785 (0.016589) |
Long run asymmetry tests – Wald statistics | |||||||||||
\({\mathrm{W}}_{\mathrm{LR}}(\mathrm{PI})\) | 6.217237** | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{HI})\) | 1.456352 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{FNI})\) | 2.708718 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{SI})\) | 0.408759 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{II})\) | 2.901127 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{MCI})\) | 0.595302 |
\({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 1.854015 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 0.076299 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 0.233893 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 0.288758 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 0.885304 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{CND})\) | 0.512464 |
\({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.388361 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.165336 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.511518 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.472496 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.187225 | \({\mathrm{W}}_{\mathrm{LR}}(\mathrm{VIX})\) | 0.002107 |
Statistics and diagnostics | |||||||||||
R-sq | 0.164867 | R−sq | 0.151617 | R−sq | 0.188144 | R−sq | 0.152613 | R−sq | 0.150353 | R−sq | 0.144998 |
Adj R-sq | 0.150253 | Adj R−sq | 0.13677 | Adj R−sq | 0.16759 | Adj R−sq | 0.13558 | Adj R−sq | 0.133275 | Adj R−sq | 0.130035 |
F-stat | 11.28083*** | F−stat | 10.21215*** | F−stat | 9.153925*** | F−stat | 8.959883*** | F−stat | 8.803737*** | F−stat | 9.690706*** |
D-W stat | 2.04387 | D−W stat | 2.055367 | D−W stat | 2.0712 | D−W stat | 2.039862 | D−W stat | 2.033129 | D−W stat | 2.050486 |
\({\upchi }_{SC}^{2} (1)\) | 1.397077 [0.2379] | \({\upchi }_{SC}^{2} (1)\) | 2.409233 [0.1214] | \({\upchi }_{SC}^{2} (1)\) | 3.469847 [0.0632] | \({\upchi }_{SC}^{2} (1)\) | 1.556456 [0.2129] | \({\upchi }_{SC}^{2} (1)\) | 1.551059 [0.2137] | \({\upchi }_{SC}^{2} (1)\) | 2.025632 [0.1554] |
\({\upchi }_{SC}^{2} (2)\) | 0.706231 [0.4941] | \({\upchi }_{SC}^{2} (2)\) | 1.209319 [0.2995] | \({\upchi }_{SC}^{2} (2)\) | 1.732613 [0.1782] | \({\upchi }_{SC}^{2} (2)\) | 0.776286 [0.4608] | \({\upchi }_{SC}^{2} (2)\) | 0.788258 [0.4553] | \({\upchi }_{SC}^{2} (2)\) | 1.021123 [0.3611] |
\({\upchi }_{HET}^{2} (1)\) | 0.043841 [0.8343] | \({\upchi }_{HET}^{2} (1)\) | 0.001695 [0.9672] | \({\upchi }_{HET}^{2} (1)\) | 0.054961 [0.8148] | \({\upchi }_{HET}^{2} (1)\) | 0.004986 [0.9437] | \({\upchi }_{HET}^{2} (1)\) | 0.012057 [0.9126] | \({\upchi }_{HET}^{2} (1)\) | 0.003922 [0.9501] |
\({\upchi }_{HET}^{2} (2)\) | 0.022385 [0.9779] | \({\upchi }_{HET}^{2} (2)\) | 0.019461 [0.9807] | \({\upchi }_{HET}^{2} (2)\) | 0.030659 [0.9698] | \({\upchi }_{HET}^{2} (2)\) | 0.004753 [0.9953] | \({\upchi }_{HET}^{2} (2)\) | 0.008388 [0.9916] | \({\upchi }_{HET}^{2} (2)\) | 0.014115 [0.986] |
\({\upchi }_{NORM}^{2}\) | 1377.340 [0.0000] | \({\upchi }_{NORM}^{2}\) | 1359.518 [0.0000] | \({\upchi }_{NORM}^{2}\) | 1705.895 [0.0000] | \({\upchi }_{NORM}^{2}\) | 1445.762 [0.0000] | \({\upchi }_{NORM}^{2}\) | 1178.064 [0.0000] | \({\upchi }_{NORM}^{2}\) | 1476.385 [0.0000] |
\({\upchi }_{\mathrm{RESET}}^{2}\) | 0.052934 [0.8182] | \({\upchi }_{\mathrm{RESET}}^{2}\) | 0.08277 [0.7737] | \({\upchi }_{\mathrm{RESET}}^{2}\) | 0.207103 [0.6493] | \({\upchi }_{\mathrm{RESET}}^{2}\) | 0.069391 [0.7924] | \({\upchi }_{\mathrm{RESET}}^{2}\) | 0.602375 [0.4381] | \({\upchi }_{\mathrm{RESET}}^{2}\) | 0.309118 [0.5785] |