Dependent Variable: ΔIVIX_t

Intercept

r_t

r_t−1

r_t−2

r_t−3

ΔIVIX_t−1

ΔIVIX_t−2

ΔIVIX_t−3

R²

DW Statistics

0.0072

[0.2849]

−0.0092*

[−25.063]

−0.0026*

[−6.0876]

−0.0004

[−1.0600]

0.0001

[0.3158]

0.0246

[1.0541]

−0.0749*

[−3.2164]

−0.0135

[−0.5883]

0.2666

2.001

Dependent Variable: r_t

Intercept

ΔIVIX_t

ΔIVIX_t−1

ΔIVIX_t−2

ΔIVIX_t−3

r_t−1

r_t−2

r_t−3

R²

DW Statistics

2.6145***

[1.8774]

−27.554*

[−25.063]

0.8300

[0.6518]

−2.7350**

[−2.1500]

0.8430

[0.6694]

0.1269*

[5.4105]

−0.0451***

[−1.9109]

0.0152

[0.6503]

0.2607

1.999