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 2 Description statistics of realized variances

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

ID	Country/Region	Symbol	Name	Full period	Mean	St.D.	Max	Min	\(\rho _{1}\)	\(\rho _{5}\)	JB-stat	ADF	Obs.
ID	Country/Region	Symbol	Name		(\(\times\) 0.01)				\(\rho _{1}\)	\(\rho _{5}\)	(\(\times\) 10\(^5\))	ADF	Obs.
1	Australia	AORD	All Ordinaries	2001/01/02–2021/08/31	0.607	0.403	0.691	0.010	0.709	0.633	3.515***	− 8.096***	5218
2	Belgium	BFX	Bell 20 Index	2001/01/02–2021/08/31	0.821	0.477	0.607	0.020	0.810	0.689	0.671***	− 7.702***	5269
3	India	BSESN	S&P BSE Sensex	2001/01/01–2021/08/31	0.980	0.630	1.221	0.020	0.741	0.564	5.442***	− 8.577***	5119
4	Brazil	BVSP	BVSP BOVESPA Index	2001/01/02–2021/08/31	1.090	0.589	0.769	0.023	0.772	0.636	1.059***	− 7.901***	5082
5	America	DJI	Dow Jones Industrial Average	2001/01/02–2021/08/31	0.845	0.625	0.929	0.014	0.790	0.678	1.312***	− 7.361***	5177
6	France	FCHI	CAC 40	2001/01/02–2021/08/31	0.981	0.598	0.716	0.017	0.822	0.712	0.577***	− 7.749***	5273
7	Italy	FTMIB	FTSE MIB	2009/06/01–2021/08/31	0.950	0.494	0.522	0.009	0.752	0.611	0.179***	− 7.033***	3105
8	UK	FTSE	FTSE 100	2001/01/02–2021/08/31	0.914	0.614	1.030	0.012	0.734	0.631	1.953***	− 7.457***	5210
9	Germany	GDAXI	DAX	2001/01/02–2021/08/31	1.051	0.677	0.767	0.020	0.830	0.726	0.384***	− 7.098***	5234
10	Canada	GSPTSE	S&P/TSX Composite index	2002/05/02–2021/08/31	0.692	0.604	1.714	0.012	0.728	0.630	36.566***	− 6.713***	4833
11	HongKong	HSI	HANG SENG Index	2001/01/02–2021/08/31	0.842	0.440	0.661	0.021	0.738	0.638	1.398***	− 6.172***	5059
12	Spain	IBEX	IBEX 35 Index	2001/01/02–2021/08/31	1.046	0.570	0.742	0.020	0.791	0.650	0.450***	− 7.69***	5239
13	South Korea	KS11	Korea Composite Stock Price Index	2001/01/02–2021/08/31	0.874	0.519	0.771	0.012	0.826	0.718	0.888***	− 7.581***	5090
14	Pakistan	KSE	Karachi SE 100 Index	2001/01/01–2021/08/31	0.843	0.513	0.608	0.001	0.691	0.533	0.236***	− 8.748***	5028
15	Mexico	MXX	IPC Mexico	2001/01/02–2021/08/31	0.759	0.448	0.723	0.019	0.603	0.494	1.891***	− 7.698***	5183
16	Japan	N225	Nikkei 225	2001/01/04–2021/08/31	0.867	0.492	0.620	0.014	0.756	0.597	0.659***	− 8.295***	5038
17	Denmark	OMXC20	OMX Copenhagen 20 Index	2005/10/03–2021/08/31	0.932	0.615	1.103	0.026	0.649	0.539	3.554***	− 6.548***	3951
18	Finland	OMXHPI	OMX Helsinki All Share Index	2005/10/03–2021/08/31	0.851	0.633	1.499	0.020	0.686	0.578	11.069***	− 6.655***	3991
19	Sweden	OMXSPI	OMX Stockholm All Share Index	2005/10/03–2021/08/31	0.804	0.581	1.026	0.015	0.720	0.621	2.335***	− 6.777***	3990
20	Norway	OSEAX	Oslo Exchange All-share Index	2001/09/03–2021/08/31	0.958	0.640	1.403	0.026	0.698	0.607	5.706***	− 7.485***	4980
21	China	SSEC	Shanghai Composite Index	2001/01/02–2021/08/31	1.074	0.668	0.654	0.019	0.785	0.639	0.198***	− 6.123***	4994
22	Switzerland	SSMI	Swiss Stock Market Index	2001/01/03–2021/08/31	0.787	0.510	0.745	0.025	0.829	0.720	1.720***	− 7.853***	5175
23	Euro Area	STOXX50E	EURO STOXX 50	2001/01/02–2021/08/31	1.056	0.682	1.041	0.001	0.781	0.664	0.952***	− 8.063***	5266

This table reports summary descriptions of realized variance in 23 international stock markets. St.D., Max, Min, and Obs donate standard deviation, maximum value, minimum value, and the number of observations, respectively. \(\rho _{i}\) refers to auto-correlation coefficient with i lags. The JB-stat and ADF represent the Jarque–Bera statistic (Jarque and Bera 1987) and Augmented Dickey–Fuller unit root test statistic (Cheung and Lai 1995), respectively. The null hypothesis of the Jarque–Bera test is that sample data has skewness and kurtosis following a normal distribution. The null hypothesis of the Augmented Dickey–Fuller unit root test is that there is a unit root in the time series

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