Financial Innovation

Table 10 Probit results using option implied volatility index -(VIX)

From: Can news-based economic sentiment predict bubbles in precious metal markets?

	Dependent variable: Bubble
	Gold	Silver	Palladium	Platinum
\(VIX_{t - 1}\)	0.0879***	− 0.0022	0.0315	0.0481***
\(VIX_{t - 1}\)	(0.0000)	(0.7500)	(0.1270)	(0.0040)
\(Inflation_{t - 1}\)	2.0117**	0.6214*	1.9999***	1.7865***
\(Inflation_{t - 1}\)	(0.0340)	(0.0733)	(0.0010)	(0.0000)
\(US{\text{DI}}_{t - 1}\)	− 1.3535***	− 1.0177***	− 3.1302***	− 2.8887***
\(US{\text{DI}}_{t - 1}\)	(0.0000)	(0.0000)	(0.0010)	(0.0000)
\({\text{EFR}}_{t - 1}\)	− 0.1018**	− 0.2849**	− 0.2213***	− 0.5029***
\({\text{EFR}}_{t - 1}\)	(0.0199)	(0.0380)	(0.0000)	(0.0000)
\(T - Spread_{t - 1}\)	− 0.4770**	− 0.6280*	− 0.1583	− 0.3606**
\(T - Spread_{t - 1}\)	(0.0137)	(0.0600)	(0.0520) ***	(0.0375)
\({\text{GEA}}_{t - 1}\)	0.0042***	0.0101**	0.0081**	0.0097***
\({\text{GEA}}_{t - 1}\)	(0.0010)	(0.0281)	(0.0150)	(0.0010)
\(Constant\)	0.3928***	0.2285***	0.3282***	− 0.1095***
\(Constant\)	(0.0000)	(0.0020)	(0.0067)	(0.0000)
\(Observations\)	360	360	360	360
McFadden's pseud-R²	0.6170	0.5523	0.3227	0.5950
Log-likelihood	− 95.451	− 79.9894	− 172.0924	− 83.1346
Hosmer–Lemeshow test	3.060	3.780	7.920*	5.770
Hosmer–Lemeshow test	(0.3831)	(0.4361)	(0.0832)	(0.1450)

This table reports the results using the option implied volatility index-(VIX). The dependent variable is a binary that equals 1 (bubble dates) and 0 (none-bubble dates) identified by the GSADF procedure. The Hosmer–Lemeshow test is a statistical test for goodness of fit for probit regressions, following the \(\chi^{2}\) distribution. A large \(\chi^{2}\) value (with small p value \(< 0.05\)) indicates poor fit regression model. Robust standard errors are given in parentheses. p values are given in brackets.*, **, and *** indicate significance at 10%, 5%, and 1% levels, respectively.

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