Uncertainty index and stock volatility prediction: evidence from international markets

Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe

doi:10.1186/s40854-022-00361-6

Financial Innovation

Table 10 Comparison of prediction errors between the DVIX and other uncertainty indicators based on time dimension

From: Uncertainty index and stock volatility prediction: evidence from international markets

Asset	EMU (%)	VIX (%)	VOL (%)	USEPU (%)	UKEPU (%)	CNEPU (%)	PCA (%)	PLS (%)	s-FPCA (%)	s-PCA (%)	\(T_{\mathrm {OS}}\) (%)
AORD	50.06	51.42	49.50	50.55	50.06	50.73	48.73	50.48	45.95	47.97	4061
BFX	53.50	50.83	52.97	53.96	53.23	53.50	52.99	53.55	49.68	50.17	4114
BSESN	51.32	50.31	51.25	51.35	51.88	50.89	51.17	50.99	48.14	50.15	3926
BVSP	50.50	49.61	51.46	51.69	51.89	51.49	50.44	50.77	49.02	48.64	3939
DJI	53.90	48.78	53.66	53.40	53.86	53.45	52.83	53.90	52.47	51.10	4176
FCHI	53.91	50.75	53.23	54.10	54.49	53.81	52.87	54.01	49.49	49.56	4118
FTMIB	54.66	52.31	53.61	53.81	54.06	54.26	53.96	55.12	48.95	48.85	1994
FTSE	52.61	49.94	52.00	52.22	52.17	52.15	51.48	51.63	48.93	48.98	4079
GDAXI	53.20	51.90	52.58	53.73	53.86	53.37	52.73	53.49	48.69	48.84	4083
GSPTSE	53.03	51.01	52.79	52.30	53.00	52.03	51.74	52.60	50.44	51.39	3711
HSI	52.25	49.92	51.53	52.81	52.23	52.76	51.25	51.43	48.87	49.41	3910
IBEX	54.88	51.33	53.63	54.12	53.78	54.42	53.46	54.64	49.35	49.96	4087
KS11	52.25	51.79	52.15	52.28	52.66	52.28	52.43	50.87	48.36	49.05	3912
KSE	49.19	49.22	50.99	49.45	49.71	48.93	48.02	49.69	50.81	50.57	3840
MXX	52.05	49.91	51.35	52.17	52.05	52.32	50.98	51.30	50.11	49.62	4031
N225	54.36	52.94	54.39	54.78	54.62	54.86	52.94	52.70	47.04	50.31	3850
OMXC20	51.83	50.73	50.23	52.32	50.87	51.54	50.87	52.07	47.71	48.60	2821
OMXHPI	51.59	51.35	52.22	53.77	53.20	53.59	51.21	52.22	46.97	47.39	2855
OMXSPI	53.78	52.45	53.29	54.84	54.56	53.75	53.05	53.99	48.28	49.51	2854
OSEAX	51.24	49.39	50.90	52.11	51.71	51.90	50.59	50.59	47.58	47.89	3823
SSEC	52.34	51.71	51.50	53.20	52.60	51.86	51.97	52.26	49.19	49.61	3810
SSMI	52.89	50.93	53.36	53.88	53.73	53.63	52.94	52.25	48.77	49.19	4031
STI	51.97	49.81	51.64	51.45	51.36	51.88	50.47	51.22	48.22	47.75	2132
STOXX50E	52.84	50.85	52.62	52.82	53.18	53.06	52.19	53.06	48.57	48.79	4116

This table reports the superior probability defined as 18 for comparing the prediction accuracy between the DVIX and other uncertainty measures in the time dimension. If the value is more than 50%, the DVIX has lower prediction errors relative to other uncertainty indexes during more than half of out-of-sample periods. The bold font highlights the values being less than 50%. \(T_{\mathrm {OS}}\) donates the out-of-sample size

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