Financial Innovation

Table 2 NARDL results

From: Did weekly economic index and volatility index impact US food sales during the first year of the pandemic?

NARDL Model: LnZ1 = f (LnVIX, LnWEI)
C	36.659***
LnZ1_t−1	− 1.576***
LnVIX_t−1^POS	0.436***
LnVIX_t−1^NEG	0.134**
WEI_t−1^POS	− 0.029***
WEI_t−1^NEG	0.030***
ΔLnZ1_t−1	0.403**
ΔLnVIX_t^POS	0.053
ΔLnVIX_t−1^POS	− 0.342***
ΔLnVIX_t^NEG	0.135*
ΔLnVIX_t−1^NEG	0.178**
ΔWEI_t^POS	0.025
ΔWEI_t−1^POS	− 0.003
ΔWEI_t^NEG	− 0.013
ΔWEI_t−1^NEG	0.035**
F_PSS	18.2115***
t_BDM	− 6.8854***
Cointegration	Yes

Long-run effect
L_LnVIX^POS	0.276***
L_LnVIX^NEG	− 0.085**
L_WEI^POS	− 0.018***
L_WEI^NEG	− 0.019***

Asymmetry effect
Long-run asymmetry F-stat		Short-run asymmetry F-stat
LnVIX	37.75***	LnVIX	13.01***
WEI	35.80***	LnWEI	0.0000133
J-B test		0.851
Ramssey RESET test		0.621
Portmanteay test		13.380
Breusch-Pegan test		0.054

Notes: ***, **, and * indicate significant at 1%, 5%, and 10% significance levels

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