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Financial Innovation

Table 3 In-sample results for one-step-ahead forecasts (\(h=1\))

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

Asset

EMU

VIX

DVIX

VOL

USEPU

UKEPU

CNEPU

PCA

PLS

s-FPCA

s-PCA

AORD

0.018***

0.007***

0.964***

0.284***

0.010

0.014*

− 0.013*

0.061***

0.174***

0.099***

0.207***

(4.242)

(10.147)

(10.764)

(10.260)

(1.232)

− 1.810

(− 1.876)

(12.259)

(9.071)

(11.109)

(12.206)

[59.58%]

[60.34%]

[61.43%]

[60.62%]

[59.43%]

[59.45%]

[59.44%]

[61.18%]

[60.21%]

[61.51%]

[61.85%]

BFX

0.011***

0.009***

0.847***

0.087***

− 0.001

0.010*

0.006

0.034***

0.108***

0.086***

0.169***

(3.180)

(10.921)

(16.274)

(4.224)

(− 0.100)

(1.780)

(1.086)

(9.105)

(7.142)

(16.457)

(16.511)

[73.30%]

[74.20%]

[74.99%]

[73.46%]

[73.25%]

[73.26%]

[73.25%]

[73.98%]

[73.70%]

[75.08%]

[75.12%]

BSESN

0.014***

0.003***

0.505***

0.082***

− 0.003

0.002

− 0.007

0.023***

0.088***

0.052***

0.105***

(3.738)

(5.270)

(8.424)

(3.779)

(− 0.431)

(0.274)

(− 1.159)

(5.824)

(5.410)

(8.700)

(8.986)

[68.94%]

[69.33%]

[69.63%]

[69.17%]

[68.84%]

[68.84%]

[68.85%]

[69.42%]

[69.38%]

[69.75%]

[69.80%]

BVSP

0.013***

0.004***

0.459***

0.068***

0.004

0.004

0.008

0.024***

0.085***

0.047***

0.095***

(3.785)

(7.125)

(8.151)

(3.153)

(0.521)

(0.569)

(1.306)

(5.956)

(5.749)

(8.423)

(8.670)

[60.34%]

[60.69%]

[60.85%]

[60.34%]

[60.23%]

[60.23%]

[60.25%]

[60.58%]

[60.50%]

[60.87%]

[60.91%]

DJI

0.023***

0.017***

1.027***

− 0.013

0.010

− 0.011

0.010

0.030***

0.146***

0.103***

0.198***

(4.969)

(13.673)

(14.238)

(− 0.554)

(1.278)

(− 1.457)

(1.376)

(6.609)

(7.458)

(14.190)

(13.964)

[68.72%]

[70.06%]

[70.14%]

[68.56%]

[68.57%]

[68.57%]

[68.56%]

[68.84%]

[68.93%]

[70.13%]

[70.08%]

FCHI

0.012***

0.009***

0.967***

0.128***

− 0.007

0.008

0.004

0.039***

0.121***

0.098***

0.195***

(3.046)

(11.099)

(17.834)

(5.502)

(− 1.152)

(1.169)

(0.655)

(10.108)

(7.589)

(18.021)

(18.280)

[73.24%]

[74.18%]

[75.20%]

[73.56%]

[73.19%]

[73.19%]

[73.18%]

[73.99%]

[73.66%]

[75.23%]

[75.32%]

FTMIB

0.010***

0.006***

0.864***

0.081***

− 0.015

0.000

0.000

0.036***

0.105***

0.086***

0.168***

(2.139)

(5.745)

(13.969)

(2.503)

(− 1.627)

(0.007)

(0.044)

(6.723)

(5.080)

(14.375)

(14.208)

[63.45%]

[64.11%]

[65.83%]

[63.73%]

[63.41%]

[63.39%]

[63.39%]

[64.50%]

[64.19%]

[66.03%]

[66.04%]

FTSE

0.014***

0.015***

0.929***

0.195***

0.012

0.000

− 0.008

0.048***

0.151***

0.095***

0.193***

(3.367)

(12.912)

(12.008)

(7.150)

(1.510)

(− 0.005)

(− 1.056)

(9.886)

(8.015)

(12.243)

(12.938)

[66.21%]

[67.68%]

[67.57%]

[66.41%]

[66.15%]

[66.14%]

[66.14%]

[66.83%]

[66.38%]

[67.60%]

[67.77%]

GDAXI

0.010***

0.008***

0.901***

0.165***

− 0.007

0.008

− 0.002

0.041***

0.119***

0.092***

0.185***

(2.406)

(9.511)

(16.054)

(6.612)

(− 1.006)

(1.212)

(− 0.279)

(10.097)

(7.082)

(16.412)

(16.894)

[73.66%]

[74.34%]

[75.19%]

[74.05%]

[73.63%]

[73.63%]

[73.62%]

[74.37%]

[74.01%]

[75.25%]

[75.36%]

GSPTSE

0.008*

0.008***

0.758***

0.057**

0.021**

0.009

0.004

0.033***

0.085***

0.077***

0.152***

(1.744)

(9.199)

(10.299)

(2.011)

(2.464)

(1.068)

(0.566)

(6.462)

(4.255)

(10.487)

(10.449)

[66.91%]

[67.67%]

[67.92%]

[67.03%]

[66.93%]

[66.90%]

[66.89%]

[67.39%]

[67.16%]

[67.97%]

[67.99%]

HSI

0.016***

0.006***

0.555***

0.083***

0.013**

0.003

− 0.003

0.029***

0.107***

0.056***

0.112***

(4.522)

(7.935)

(9.473)

(3.575)

(2.213)

(0.531)

(− 0.468)

(7.406)

(6.858)

(9.509)

(9.746)

[63.52%]

[64.20%]

[64.31%]

[63.49%]

[63.38%]

[63.35%]

[63.36%]

[64.09%]

[63.97%]

[64.51%]

[64.57%]

IBEX

0.009***

0.005***

0.762***

0.102***

− 0.010

0.011*

− 0.002

0.033***

0.096***

0.078***

0.154***

(2.717)

(7.283)

(14.134)

(4.484)

(− 1.644)

(1.818)

(− 0.453)

(8.778)

(6.653)

(14.397)

(14.737)

[73.77%]

[74.14%]

[75.02%]

[73.91%]

[73.74%]

[73.75%]

[73.73%]

[74.27%]

[74.01%]

[75.08%]

[75.13%]

KS11

0.013***

0.004***

0.729***

0.070***

0.000

− 0.008

0.003

0.026***

0.105***

0.073***

0.143***

(3.618)

(6.600)

(13.748)

(3.388)

(− 0.016)

(− 1.407)

(0.449)

(7.148)

(6.731)

(13.771)

(13.854)

[76.29%]

[76.51%]

[77.34%]

[76.28%]

[76.21%]

[76.22%]

[76.22%]

[76.59%]

[76.55%]

[77.43%]

[77.45%]

KSE

0.011***

0.002***

0.200***

0.000

0.009

0.009

0.006

0.011***

0.048***

0.020***

0.038***

(2.376)

(3.091)

(2.730)

(− 0.002)

(0.968)

(1.109)

(0.799)

(2.164)

(2.356)

(2.689)

(2.675)

[57.77%]

[57.91%]

[57.86%]

[57.79%]

[57.73%]

[57.73%]

[57.73%]

[57.79%]

[57.80%]

[57.81%]

[57.81%]

MXX

0.011***

0.004***

0.463***

0.075***

0.009

− 0.001

0.004

0.022***

0.074***

0.047***

0.096***

(2.643)

(6.567)

(6.297)

(3.094)

(1.152)

(− 0.144)

(0.555)

(4.711)

(4.151)

(6.432)

(6.664)

[51.91%]

[52.58%]

[52.67%]

[52.25%]

[51.85%]

[51.84%]

[51.84%]

[52.38%]

[52.03%]

[52.66%]

[52.71%]

N225

0.019***

0.006***

0.966***

0.146***

0.001

0.000

− 0.006

0.042***

0.150***

0.097***

0.194***

(4.890)

(8.725)

(13.716)

(5.997)

(0.088)

(0.043)

(− 0.916)

(8.991)

(8.562)

(13.756)

(14.098)

[66.69%]

[67.05%]

[68.46%]

[66.65%]

[66.52%]

[66.52%]

[66.53%]

[67.24%]

[66.98%]

[68.52%]

[68.64%]

OMXC20

0.021***

0.009***

0.699***

0.213***

0.000

0.011

− 0.002

0.051***

0.170***

0.072***

0.150***

(4.339)

(10.406)

(8.926)

(7.281)

(− 0.021)

(1.250)

(− 0.258)

(9.003)

(7.975)

(9.254)

(9.940)

[59.82%]

[60.95%]

[60.89%]

[60.26%]

[59.60%]

[59.61%]

[59.60%]

[60.96%]

[60.46%]

[61.12%]

[61.33%]

OMXHPI

0.018***

0.010***

0.826***

0.215***

− 0.015

0.012

0.013*

0.051***

0.162***

0.085***

0.173***

(3.789)

(10.536)

(13.415)

(6.857)

(− 1.573)

(1.306)

(1.710)

(10.555)

(8.164)

(13.886)

(14.795)

[69.84%]

[70.79%]

[71.20%]

[70.29%]

[69.75%]

[69.74%]

[69.74%]

[70.72%]

[70.30%]

[71.31%]

[71.48%]

OMXSPI

0.015***

0.010***

0.977***

0.194***

− 0.018**

0.013

0.013*

0.053***

0.160***

0.100***

0.200***

(3.295)

(10.343)

(15.875)

(6.640)

(− 1.994)

(1.448)

(1.694)

(10.577)

(8.156)

(16.226)

(16.811)

[71.09%]

[72.07%]

[73.09%]

[71.52%]

[71.04%]

[71.03%]

[71.03%]

[72.11%]

[71.60%]

[73.17%]

[73.31%]

OSEAX

0.013***

0.011***

0.840***

0.169***

0.012

0.004

0.001

0.044***

0.132***

0.085***

0.172***

(2.990)

(12.967)

(10.092)

(6.547)

(1.610)

(0.492)

(0.177)

(8.823)

(6.848)

(10.272)

(10.801)

[61.81%]

[63.02%]

[63.08%]

[61.95%]

[61.75%]

[61.73%]

[61.73%]

[62.44%]

[62.00%]

[63.15%]

[63.28%]

SSEC

− 0.004

0.001

0.486***

0.053**

0.011

0.013*

0.010

0.019***

0.021

0.048***

0.094***

(− 1.087)

(1.336)

(8.216)

(2.244)

(1.447)

(1.893)

(1.385)

(4.853)

(1.369)

(8.176)

(8.171)

[71.66%]

[71.71%]

[72.15%]

[71.74%]

[71.67%]

[71.67%]

[71.66%]

[71.93%]

[71.79%]

[72.23%]

[72.23%]

SSMI

0.013***

0.008***

0.788***

0.112***

− 0.007

0.002

− 0.002

0.033***

0.116***

0.080***

0.158***

(4.018)

(11.926)

(15.591)

(6.114)

(− 1.307)

(0.438)

(− 0.414)

(10.033)

(8.168)

(15.685)

(15.989)

[77.09%]

[77.83%]

[78.52%]

[77.25%]

[77.01%]

[77.01%]

[77.00%]

[77.64%]

[77.44%]

[78.57%]

[78.64%]

STOXX50E

0.014***

0.011***

1.004***

0.203***

− 0.001

0.003

0.000

0.048***

0.150***

0.102***

0.207***

(3.049)

(10.652)

(14.644)

(7.074)

(− 0.111)

(0.353)

(0.002)

(10.296)

(7.874)

(14.848)

(15.613)

[63.75%]

[64.49%]

[65.20%]

[63.92%]

[63.68%]

[63.68%]

[63.67%]

[64.29%]

[63.88%]

[65.24%]

[65.40%]

  1. This table reports slope coefficient \(\beta\) in model (8) for one-step-ahead forecasts in international stock markets. The definitions of uncertainty indicators such as EMU and VIX are shown in Table 1. The asset list is reported in Table 2. Newey and West (1987) adjusted t statistics are reported in parenthesis. The adjusted \(R^2\)s are shown in the square
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