I've had enough lifestyle variation to say with quite good confidence that it's the aerobic exercising that helps me. Before I learned to manage my anxiety I tried to calm down by just, you know, lying down and trying to relax, but it never worked very well. My mind would just generate more anxious thoughts and it would often get worse, not better by just relaxing.

I've also don HIIT and I can confirm that 15-20 minutes of HIIT (maybe 5-7 intervals with a bit of warmup) provides the same results as one hour of more moderate form of aerobic exercising. However, HIIT, when done properly, is fucking horrible (several times I've been very close to puking afterwards). I still do it maybe once every two weeks, but I think I would die if I tried to do a proper HIIT workout every day.