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Financial Innovation

Table 6 Regression parameters of new models for 1-month 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

− 29.395***

(− 20.990)

0.104***

(5.836)

0.029

(1.077)

0.110***

(4.176)

             

0.034***

(21.646)

0.497

HAR-RV-J-B

− 27.240***

(− 19.618)

0.255***

(10.829)

− 0.042

(− 1.558)

0.120***

(4.651)

− 0.310***

(− 9.517)

            

0.032***

(20.242)

0.513

HAR-CJ-B

− 22.132***

(− 16.031)

   

0.039

(1.588)

− 0.331***

(− 5.466)

− 0.100***

(− 7.808)

0.156***

(6.426)

0.100***

(2.654)

0.418***

(9.390)

       

0.026***

(16.609)

0.543

PS-B

− 29.331***

(− 20.939)

 

0.019

(0.708)

0.112***

(4.249)

      

0.085***

(3.893)

0.142***

(4.447)

     

0.034***

(21.592)

0.505

PSLev-B

− 29.349***

(− 20.943)

 

0.020

(0.748)

0.111***

(4.204)

      

0.065

(1.546)

0.145***

(4.481)

    

0.017

(0.577)

0.034***

(21.596)

0.512

HAR-RSV-B

− 29.489***

(− 21.051)

         

0.069***

(3.013)

0.164***

(4.781)

0.070

(1.127)

− 0.051

(− 0.695)

0.368***

(2.748)

− 0.165

(− 1.123)

 

0.034***

(21.712)

0.530

HAR-RSV-J-B

− 27.271***

(− 19.652)

   

− 0.350***

(− 9.744)

     

0.302***

(9.217)

0.206***

(6.095)

− 0.041

(− 0.673)

− 0.030

(− 0.441)

0.422***

(3.223)

− 0.216

(− 1.507)

 

0.032***

(20.287)

0.535

 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  

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

HAR-RV-SJ-B

− 27.330***

(− 19.673)

− 0.061**

(− 2.342)

0.123***

(4.798)

0.259***

(11.015)

  

− 0.020

(− 1.089)

        

0.032***

(20.299)

  

0.513

HAR-CSJ-B

− 25.177***

(− 17.806)

  

0.165***

(6.564)

0.068*

(1.890)

0.141***

(4.270)

− 0.009

(− 0.464)

  

− 0.012

(− 0.199)

  

− 0.275**

(− 2.092)

  

0.029***

(18.382)

  

0.544

HAR-RV-SJd-B

− 27.215***

(− 19.614)

− 0.040

(− 1.500)

0.118***

(4.596)

0.270***

(11.337)

   

0.028

(1.118)

− 0.109***

(− 2.933)

      

0.032***

(20.243)

  

0.513

HAR-CSJd-B

− 24.476***

(− 17.256)

  

0.176***

(6.793)

0.106***

(2.887)

0.135***

(4.092)

 

0.038

(1.491)

− 0.081**

(− 2.003)

 

0.161**

(2.081)

− 0.406***

(− 3.089)

 

− 0.708***

(− 4.083)

0.759**

(2.245)

0.029***

(17.736)

  

0.543

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