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 11 Comparison of prediction errors between the DVIX and other uncertainty indicators based on stability dimension

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

Asset	Quantile (%)	EMU	VIX	VOL	USEPU	UKEPU	CNEPU	PCA	PLS	s-FPCA	s-PCA
AORD	99	0.064	0.041	0.051	0.085	0.100	0.093	0.047	0.009	− 0.018	− 0.028
	95	0.019	0.007	0.006	0.019	0.020	0.022	0.004	0.000	− 0.009	− 0.013
	90	0.006	0.003	0.005	0.004	0.004	0.006	0.003	0.008	0.000	0.000
BFX	99	0.045	0.001	0.045	0.044	0.042	0.045	0.036	0.027	0.030	0.025
	95	0.018	− 0.002	0.017	0.016	0.018	0.016	0.010	0.016	0.002	− 0.001
	90	0.009	0.007	0.010	0.013	0.012	0.013	0.009	0.009	0.001	0.001
BSESN	99	− 0.002	− 0.016	0.010	0.005	0.000	0.001	− 0.013	− 0.011	0.002	0.001
	95	0.010	0.001	0.007	0.008	0.011	0.008	0.006	0.002	0.000	0.001
	90	0.005	0.004	0.007	0.006	0.008	0.004	0.005	0.006	0.000	0.000
BVSP	99	0.015	0.024	0.014	0.019	0.021	0.011	0.005	0.018	0.007	0.005
	95	0.005	0.001	0.002	0.005	0.007	0.006	0.002	0.004	− 0.001	− 0.001
	90	0.007	0.008	0.008	0.006	0.008	0.007	0.004	0.009	0.002	0.004
DJI	99	0.007	− 0.005	0.023	0.028	0.030	0.023	0.008	0.010	0.000	0.000
	95	0.013	0.006	0.013	0.019	0.016	0.014	0.007	0.010	0.004	0.005
	90	0.009	− 0.010	0.012	0.011	0.012	0.011	0.007	0.005	0.001	0.003
FCHI	99	0.032	− 0.004	0.012	0.031	0.025	0.028	0.011	0.012	0.005	0.010
	95	0.021	0.016	0.023	0.025	0.021	0.022	0.018	0.018	0.005	0.008
	90	0.021	0.008	0.017	0.022	0.021	0.020	0.015	0.014	0.002	0.002
FTMIB	99	0.025	− 0.010	0.016	0.024	0.022	0.020	0.008	0.020	0.000	− 0.001
	95	0.018	0.007	0.020	0.022	0.020	0.025	0.009	0.016	0.003	0.006
	90	0.010	0.010	0.006	0.008	0.008	0.007	0.007	0.005	− 0.001	− 0.001
FTSE	99	0.052	0.029	0.047	0.061	0.052	0.057	0.037	0.024	0.023	0.023
	95	0.015	0.013	0.005	0.013	0.014	0.011	0.012	0.014	− 0.008	− 0.003
	90	0.008	0.007	0.007	0.011	0.010	0.009	0.005	0.010	− 0.001	− 0.001
GDAXI	99	0.022	− 0.017	0.035	0.028	0.026	0.036	0.008	0.007	− 0.006	− 0.001
	95	0.020	0.010	0.016	0.024	0.017	0.018	0.017	0.018	0.001	0.004
	90	0.016	0.012	0.014	0.019	0.020	0.019	0.009	0.014	0.004	0.004
GSPTSE	99	0.005	0.002	0.003	0.020	0.020	0.008	0.003	− 0.011	− 0.001	0.001
	95	0.003	− 0.007	0.002	− 0.002	− 0.002	0.000	− 0.009	− 0.006	− 0.001	0.001
	90	0.012	0.012	0.012	0.013	0.013	0.011	0.008	0.011	0.001	0.003
HSI	99	0.010	− 0.002	0.015	0.020	0.025	0.027	0.004	− 0.007	0.000	− 0.005
	95	0.011	0.006	0.008	0.009	0.010	0.007	− 0.001	0.004	0.000	0.000
	90	0.001	0.006	0.005	0.002	0.003	0.004	0.003	0.005	0.002	− 0.001
IBEX	99	0.022	− 0.001	0.019	0.023	0.015	0.018	0.016	0.014	0.007	0.006
	95	0.009	0.004	0.009	0.006	0.009	0.008	0.005	0.004	0.001	0.001
	90	0.004	0.006	0.007	0.009	0.010	0.008	0.001	0.006	− 0.001	− 0.001
KS11	99	0.034	− 0.003	0.034	0.018	0.026	0.025	0.028	0.034	0.017	0.010
	95	0.014	0.012	0.014	0.019	0.017	0.015	0.008	0.016	0.005	0.003
	90	0.009	0.002	0.011	0.011	0.010	0.011	0.007	0.007	0.003	0.000
KSE	99	− 0.010	− 0.033	0.005	0.001	0.005	0.001	0.002	− 0.009	− 0.002	0.000
	95	0.003	0.002	0.002	0.004	0.002	0.003	0.005	0.005	0.001	0.003
	90	− 0.002	− 0.004	− 0.001	0.001	0.000	− 0.003	− 0.004	− 0.002	− 0.001	0.000
MXX	99	0.012	− 0.006	0.012	0.019	0.021	0.023	− 0.005	− 0.002	− 0.005	− 0.004
	95	− 0.001	0.004	0.004	0.001	0.005	− 0.001	− 0.005	− 0.002	0.000	0.003
	90	0.004	0.004	− 0.001	0.000	− 0.002	0.000	0.004	0.004	− 0.002	0.000
N225	99	0.029	0.022	0.045	0.050	0.051	0.050	0.030	0.007	− 0.012	− 0.022
	95	0.022	0.020	0.017	0.029	0.027	0.023	0.013	0.013	0.000	0.001
	90	0.010	0.007	0.007	0.011	0.012	0.011	0.005	0.006	− 0.001	− 0.003
OMXC20	99	− 0.010	− 0.009	− 0.020	− 0.002	− 0.009	− 0.003	− 0.004	− 0.026	− 0.008	0.005
	95	0.015	0.012	0.011	0.016	0.014	0.016	0.009	0.005	− 0.003	− 0.006
	90	0.012	0.008	0.013	0.014	0.015	0.015	0.004	0.004	− 0.002	− 0.002
OMXHPI	99	− 0.020	− 0.007	− 0.008	0.007	0.009	0.007	− 0.014	− 0.023	− 0.006	− 0.011
	95	0.014	− 0.016	0.014	0.007	0.008	0.011	0.002	0.006	− 0.003	− 0.005
	90	0.016	0.006	0.023	0.020	0.019	0.016	0.006	0.012	0.000	0.000
OMXSPI	99	0.027	0.006	0.031	0.023	0.023	0.025	0.013	0.008	0.002	0.004
	95	0.024	0.007	0.025	0.021	0.023	0.022	0.003	0.012	0.000	0.000
	90	0.021	0.009	0.022	0.026	0.023	0.025	0.008	0.014	0.000	0.000
OSEAX	99	0.043	0.044	0.039	0.046	0.036	0.041	0.010	0.019	− 0.003	− 0.003
	95	0.016	0.002	0.027	0.020	0.022	0.023	0.009	0.010	− 0.001	− 0.002
	90	0.016	0.004	0.010	0.009	0.011	0.012	0.009	0.012	0.001	0.001
SSEC	99	0.037	0.017	0.039	0.037	0.039	0.044	0.025	0.025	0.000	0.006
	95	0.003	0.008	0.007	0.004	0.003	0.004	0.002	0.003	0.002	0.001
	90	0.009	0.009	0.010	0.008	0.009	0.010	0.009	0.010	0.002	0.002
SSMI	99	0.045	0.009	0.038	0.046	0.046	0.037	0.030	0.026	0.011	0.021 ra>
	95	0.019	0.023	0.018	0.023	0.022	0.023	0.010	0.017	0.000	0.002
	90	0.014	0.010	0.013	0.013	0.014	0.014	0.008	0.014	0.002	0.003
STI	99	0.012	0.006	0.021	0.012	0.011	0.013	0.010	0.007	0.003	0.000
	95	− 0.005	− 0.012	− 0.003	− 0.001	− 0.001	− 0.001	0.002	− 0.004	− 0.005	− 0.008
	90	− 0.001	− 0.003	0.001	0.002	0.000	0.003	0.003	− 0.002	0.001	− 0.001
STOXX50E	99	0.079	− 0.022	0.060	0.077	0.078	0.077	0.070	0.042	0.035	0.014
	95	0.005	− 0.005	0.003	0.005	0.008	0.007	0.001	− 0.002	− 0.002	0.004
	90	0.018	0.013	0.014	0.017	0.015	0.018	0.013	0.014	0.002	0.000

This table reports 99%, 95% and 90% quantiles of the prediction error of uncertainty indexes after minus that of the DVIX, which is to compare the prediction accuracy between the DVIX and other uncertainty measures in the stability dimension. The bold font donates that it has a smaller prediction error at corresponding quantile with respect to that of the DVIX, indicating that the prediction error sequence is more stable

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