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The COVID-19 Pandemic Effect on Risk and Return of Malaysian Tourism Industry

Table 11: Estimation of the impact of COVID case, death, recover and vaccine progress on Tourism Firms Risk

GARCH Standard Deviation
Variable OLS Q50 Q60 Q70 Q80 Q90 OLS Q50 Q60 Q70 Q80 Q90
C 0.042(0.047) 0.011(0.027) 0.081(0.073) 0.030(0.031) 0.023(0.049) 0.104(0.122) 0.113(0.279) 0.012(0.226) 0.090(0.315) 0.099(0.430) 0.041(0.5265) 0.203(1.013)
Confirmed 0.013(0.011) 0.011***(0.064) 0.018(0.017) 0.075(0.074) 0.012(0.012) 0.031(0.029) 0.037***(0.066) 0.042***(0.053) 0.055***(0.074) 0.068***(0.010) 0.057***(0.012) 0.067***(0.024)
Death 0.36(0.091) 0.035(0.052) 0.094(0.014) 0.098(0.061) 0.082(0.096) 0.027(0.024) -0.026***(0.054) -0.022***(0.044) -0.034***(0.061) -0.042***(0.083) -0.033***(0.010) -0.045***(0.019)
Recovered 0.007**(0.003) 0.028*(0.019) 0.012**(0.051) 0.061***(0.022) 0.019(0.034) 0.018**(0.085) -0.041**(0.020) -0.065***(0.016) -0.076***(0.022) -0.067**(0.030) -0.058*(0.037) -0.029(0.071)
VP 0.044(0.050) -0.061**(0.029) -0.017**(0.079) -0.019(0.034) -0.036(0.053) -0.097(0.013) -0.011***(0.030) -0.011***(0.024) -0.015***(0.034) -0.020***(0.046) -0.015***(0.057) -0.022***(0.011)
GRSI -0.016*(0.091) -0.014(0.056) -0.028(0.014) -0.063(0.061) -0.040(0.096) -0.050**(0.024) -0.014***(0.054) -0.063*(0.044) -0.094*(0.061) -0.022***(0.084) -0.028***(0.010) -0.037***(0.020)
Oil(1) -0.013(0.022) -0.043(0.013) -0.026(0.035) -0.083(0.015) -0.052(0.024) -0.040(0.059) 0.109(0.134) 0.015(0.109) 0.015(0.151) 0.033(0.207) 0.114(0.253) 0.259(0.486)
ExR(1) 0.025(0.079) 0.014***(0.045) 0.021*(0.012) 0.030(0.053) 0.010(0.083) 0.080(0.020) 0.009**(0.005) 0.004(0.001 0.006(0.005) 0.002(0.007) 0.004(0.009) 0.004(0.017)
INF(1) -0.069*(0.036) -0.024(0.021) -0.012(0.057) -0.048**(0.024) -0.020(0.038) -0.040(0.095) -0.001***(0.001) -0.001*(0.001) -0.001*(0.001) -0.001***(0.001) -0.001**(0.001) -0.002***(0.001)
Adj./Pseudo R 2 0.400 0.030 0.010 0.040 0.050 0.050 0.040 0.056 0.054 0.051 0.026 0.030
Obs 30432
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