Table 9 Impact of COVID-19 information on jumps of index returns.

μ

0.02

0.057

0.017

0.003

0.035

0.157***

0.165***

0.154***

(0.486)

(1.529)

(0.411)

(0.252)

(0.883)

(4.468)

(4.647)

(4.318)

α₀

0.099***

0.071

0.096***

0.098

0.098*

0.081**

0.077***

0.080***

(3.237)

(1.218)

(2.589)

(0.861)

(1.822)

(2.095)

(2.268)

(2.361)

α₁

0.143***

0.142***

0.142***

0.141

0.228***

0.204***

0.238***

0.157***

(9.765)

(2.785)

(8.738)

(0.65)

(3.368)

(3.459)

(3.267)

(4.53)

β

0.758***

0.743***

0.755***

0.758***

0.660***

0.670***

0.667***

0.719***

(16.642)

(5.791)

(12.994)

(11.945)

(6.838)

(7)

(7.61)

(11.09)

θ_j

0.000

−0.063

0.000

0.001

−0.062

−1.706

−0.164

−1.235

(0.000)

(−0.092)

(0.000)

(0.004)

(−0.056)

(−1.353)

(−0.149)

(−0.916)

σ_j

17.004***

17.013***

17.026***

17.031***

21.926***

19.707***

21.903***

21.619***

(3.205)

(2.408)

(2.51)

(15.349)

(2.398)

(2.421)

(2.889)

(2.195)

λ₀

0.099

0.106***

0.097***

0.098

0.098

0.128*

0.097

0.053***

(1.276)

(2.158)

(2.403)

(1.579)

(1.539)

(1.742)

(1.174)

(3.975)

ρ

−0.467***

−0.047

−0.163

0.002

−0.346

−0.205

−0.615

−0.577

(−4.213)

(−0.110)

(−0.798)

(0.036)

(−0.280)

(−0.389)

(−0.529)

(−0.360)

γ

0.126

−0.034

0.166

0.128

−0.024

−0.02

−0.025

−0.024

(0.821)

(−1.286)

(0.761)

(0.476)

(−0.102)

(−0.132)

(−0.092)

(−0.509)

η

0.001

−0.007

−0.008

0.508***

−0.006

−0.009

−0.007

−0.002

(0.071)

(−1.040)

(−0.795)

(17.616)

(−0.789)

(−1.197)

(−0.767)

(−0.327)

LogL

769.2101

761.8851

767.0275

1169.34

741.6728

733.728

735.6464

736.0996