VAR optimal lag selection.

This table presents our VAR model optimal lag selection criteria. We mixed both illiquidity and volatility into one VAR model and we use five tests for optimal lag selection. LR is the sequential modified LR test statistic (each test at 5% level); FPE is the Final prediction error; AIC is the Akaike information criterion; SC is Schwarz information criterion; HQ is Hannan-Quinn information criterion. * indicates the optimal section based on the corresponding lag selection criteria. The sample runs from January 1, 2010 to March 22, 2021.