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Financial Innovation

Table 5 Regression parameters of new models for 1-week 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

− 18.825***

(− 11.417)

0.256***

(12.259)

0.302***

(9.650)

− 0.029

(− 0.940)

             

0.022***

(11.757)

0.509

HAR-RV-J-B

− 15.457***

(− 9.629)

0.495***

(18.170)

0.191***

(6.102)

− 0.014

(− 0.456)

− 0.489***

(− 12.970)

            

0.018***

(9.934)

0.534

HAR-CJ-B

− 9.673***

(− 6.179)

   

0.164***

(5.886)

− 0.567***

(− 8.237)

− 0.693***

(− 4.756)

0.329***

(12.009)

0.566***

(13.260)

0.132***

(2.601)

       

0.011***

(6.442)

0.556

PS-B

− 18.567***

(− 11.313)

 

0.267***

(8.334)

− 0.021

(− 0.689)

      

0.186***

(7.277)

0.403***

(10.730)

     

0.022***

(11.646)

0.521

PSLev-B

− 18.776***

(− 11.544)

 

0.281***

(8.829)

− 0.033

(− 1.078)

      

− 0.070

(− 1.432)

0.441***

(11.692)

    

0.208***

(6.182)

0.022***

(11.884)

0.533

HAR-RSV-B

− 18.745***

(− 11.430)

         

0.194***

(7.218)

0.377***

(9.359)

0.104

(1.435)

0.460***

(5.320)

0.391**

(2.498)

− 0.480***

(− 2.792)

 

0.022***

(11.772)

0.539

HAR-RSV-J-B

− 15.449***

(− 9.678)

   

− 0.518***

(− 12.458)

     

0.539***

(14.215)

0.438***

(11.186)

− 0.062

(− 0.873)

0.495***

(5.935)

0.475***

(3.145)

− 0.560***

(− 3.384)

 

0.018***

(9.992)

0.549

 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  

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

HAR-RV-SJ-B

− 15.432***

(− 9.619)

0.192***

(6.394)

− 0.014

(− 0.472)

0.495***

(18.205)

  

− 0.013

(− 0.621)

        

0.018***

(9.925)

  

0.534

HAR-CSJ-B

− 12.575***

(− 7.895)

  

0.348***

(12.271)

0.493***

(12.151)

− 0.081**

(− 2.176)

− 0.046**

(− 2.070)

  

0.190***

(2.858)

  

− 0.491***

(− 3.321)

  

0.015***

(8.170)

  

0.557

HAR-RV-SJd-B

− 15.480***

(− 9.645)

0.183***

(5.868)

− 0.012

(− 0.396)

0.490***

(17.766)

   

− 0.033

(− 1.162)

0.026

(0.606)

      

0.018***

(9.951)

  

0.534

HAR-CSJd-B

− 11.415***

(− 7.161)

  

0.324***

(11.085)

0.508***

(12.281)

− 0.090**

(− 2.414)

 

− 0.071**

(− 2.463)

0.030

(0.653)

 

0.339***

(3.909)

− 0.262*

(− 1.773)

 

− 1.228***

(− 6.284)

1.524***

(4.043)

0.013***

(7.317)

  

0.559

  1. This table reports the in-sample analysis results of the next trading week. Other comments are the same as Table 4
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