From: Can the Baidu Index predict realized volatility in the Chinese stock market?
 | h = 1 | h = 5 | h = 10 | h = 22 | h = 44 | h = 66 |
---|---|---|---|---|---|---|
HAR-RV-B | 0.701*** (3.001) | 1.750*** (4.657) | 3.318*** (6.146) | 4.665*** (7.120) | 5.451*** (8.493) | 7.748*** (9.674) |
HAR-RV-J-B | 0.460*** (2.550) | 1.109*** (4.108) | 2.417*** (5.733) | 3.887*** (6.927) | 4.835*** (8.188) | 7.148*** (9.410) |
HAR-CJ-B | 0.118 (1.219) | 0.397*** (2.969) | 1.213*** (5.135) | 2.400*** (6.373) | 3.349*** (7.240) | 5.564*** (8.579) |
PS-B | 0.814*** (3.217) | 1.775*** (4.636) | 3.439*** (5.818) | 4.862*** (6.689) | 5.631*** (8.120) | 7.960*** (9.339) |
PSLev-B | 0.840*** (3.240) | 1.837*** (4.736) | 3.511*** (5.889) | 4.903*** (6.657) | 5.677*** (8.090) | 8.018*** (9.323) |
HAR-RSV-B | 0.822*** (2.878) | 1.858*** (4.378) | 3.604*** (5.648) | 5.039*** (6.522) | 5.776*** (7.919) | 8.055*** (9.172) |
HAR-RSV-J-B | 0.354** (2.087) | 1.139*** (4.002) | 2.491*** (5.707) | 3.989*** (6.763) | 4.914*** (7.989) | 7.194*** (9.251) |
HAR-RV-SJ-B | 0.443*** (2.705) | 1.125*** (4.311) | 2.472*** (6.064) | 3.979*** (7.289) | 4.925*** (8.479) | 7.254*** (9.645) |
HAR-CSJ-B | 0.157* (1.454) | 0.692*** (3.627) | 1.848*** (5.651) | 3.229*** (6.774) | 4.176*** (7.943) | 6.469*** (9.222) |
HAR-RV-SJd-B | 0.423*** (2.554) | 1.127*** (4.243) | 2.461*** (5.980) | 3.944*** (7.219) | 4.879*** (8.382) | 7.232*** (9.596) |
HAR-CSJd-B | 0.056 (0.764) | 0.568*** (3.758) | 1.649*** (5.744) | 3.020*** (6.645) | 4.157*** (7.557) | 6.122*** (8.789) |