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Financial Innovation

Table 4 Regression parameters of new models for 1-day horizon

From: Can the Baidu Index predict realized volatility in the Chinese stock market?

 

\({\beta }_{0}\)

\({\beta }_{1}\)

\({\beta }_{5}\)

\({\beta }_{22}\)

\({\beta }_{J1}\)

\({\beta }_{J5}\)

\({\beta }_{J22}\)

\({\beta }_{C1}\)

\({\beta }_{C5}\)

\({\beta }_{C22}\)

\({\beta }_{1}^{-}\)

\({\beta }_{1}^{+}\)

\({\beta }_{5}^{-}\)

\({\beta }_{5}^{+}\)

\({\beta }_{22}^{-}\)

\({\beta }_{22}^{+}\)

\({\beta }_{m1}\)

\({\beta }_{B}\)

Adj-\({R}^{2}\)

HAR-RV-B

− 12.363***

(− 5.785)

0.251***

(9.258)

0.500***

(12.329)

− 0.050

(− 1.226)

             

0.014***

(5.946)

0.331

HAR-RV-J-B

− 10.361***

(-4.822)

0.393***

(10.758)

0.434***

(10.381)

− 0.040

(− 1.005)

− 0.290***

(− 5.739)

            

0.012***

(4.963)

0.336

HAR-CJ-B

− 5.852***

(− 2.674)

   

0.232***

(5.947)

− 0.204**

(− 2.113)

− 0.510**

(− 2.500)

0.258***

(6.718)

0.751***

(12.570)

0.053

(0.752)

       

0.007***

(2.784)

0.354

PS-B

− 12.812***

(− 6.049)

 

0.561***

(13.567)

− 0.063

(− 1.577)

      

0.372***

(11.247)

− 0.002

(− 0.038)

     

0.015***

(6.221)

0.333

PSLev-B

− 12.931***

(− 6.113)

 

0.569***

(13.743)

− 0.070*

(− 1.743)

      

0.229***

(3.615)

0.019

(0.397)

    

0.117***

(2.663)

0.015***

(6.288)

0.335

HAR-RSV-B

− 12.797***

(− 6.106)

         

0.441***

(12.830)

− 0.135***

(− 2.624)

− 0.008

(− 0.089)

1.272***

(11.482)

0.184

(0.918)

− 0.360

(− 1.639)

 

0.015***

(6.271)

0.348

HAR-RSV-J-B

− 9.279***

(− 4.484)

   

− 0.561***

(− 10.424)

     

0.814***

(16.610)

− 0.070

(− 1.381)

− 0.188**

(− 2.041)

1.310***

(12.132)

0.275

(1.405)

− 0.448**

(− 2.090)

 

0.011***

(4.623)

0.349

 

\({\beta }_{0}\)

\({\beta }_{5}\)

\({\beta }_{22}\)

\({\beta }_{C1}\)

\({\beta }_{C5}\)

\({\beta }_{C22}\)

\({\beta }_{\delta J1}\)

\({\beta }_{\delta J1}^{-}\)

\({\beta }_{\delta J1}^{+}\)

\({\beta }_{\delta J5}\)

\({\beta }_{\delta J5}^{-}\)

\({\beta }_{\delta J5}^{+}\)

\({\beta }_{\delta J22}\)

\({\beta }_{\delta J22}^{-}\)

\({\beta }_{\delta J22}^{+}\)

\({\beta }_{B}\)

  

Adj-\({R}^{2}\)

HAR-RV-SJ-B

− 9.883***

(− 4.700)

0.451***

(11.460)

− 0.048

(− 1.222)

0.396***

(11.083)

  

− 0.265***

(− 9.715)

        

0.012***

(4.849)

  

0.336

HAR-CSJ-B

− 6.725***

(− 3.216)

  

0.271***

(7.258)

0.793***

(14.870)

− 0.111**

(− 2.248)

− 0.368***

(− 12.570)

  

0.497***

(5.680)

  

− 0.354*

(− 1.822)

  

0.008***

(3.332)

  

0.355

HAR-RV-SJd-B

− 9.751***

(− 4.640)

0.475***

(11.630)

− 0.054

(− 1.378)

0.409***

(11.303)

   

− 0.208***

(− 5.503)

− 0.373***

(− 6.593)

      

0.011***

(4.791)

  

0.337

HAR-CSJd-B

− 5.235**

(− 2.518)

  

0.280***

(7.348)

0.742***

(13.753)

− 0.141***

(− 2.899)

 

− 0.297***

(− 7.858)

− 0.552***

(− 9.207)

 

0.125

(1.100)

1.256***

(6.494)

 

− 1.093***

(− 4.282)

1.686***

(3.424)

0.006**

(2.497)

  

0.361

  1. This table reports the in-sample analysis results of the next trading day. New models denote model (12) to (22). Estimation is by OLS and t-statistic is shown in parentheses. ***, **, * indicate statistical significance at 1%, 5% or 10% level, respectively
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