Spearman correlation between factor scores and ΔCV 19 I t is highly significant with a coefficient of -0.3240 (ordinary ρ = -0.5619).
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The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets.
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While φ i,ΔCV19I may not be significant, forecasted conditional variance captures this volatility spike (Fig. 7A in the Appendix).