Table 7 Robustness check for different windows
From: Uncertainty index and stock volatility prediction: evidence from international markets
Asset | Window | EMU (%) | VIX (%) | DVIX (%) | VOL (%) | USEPU (%) | UKEPU (%) | CNEPU (%) | PCA (%) | PLS (%) | s-FPCA (%) | s-PCA (%) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AORD | W = 2000 | 0.72 | 4.87 | 6.25 | 2.50 | 0.06 | 0.11 | − 0.02 | 5.27 | 4.04 | 6.08 | 6.44 |
W = 3000 | 0.48 | 4.98 | 6.53 | 2.18 | 0.10 | 0.10 | − 0.08 | 6.01 | 2.91 | 6.85 | 6.98 | |
BFX | W = 2000 | 0.09 | 3.41 | 6.93 | 0.17 | − 0.10 | − 0.04 | − 0.07 | 2.49 | 1.61 | 6.37 | 6.23 |
W = 3000 | − 0.09 | 4.12 | 7.39 | 0.31 | − 0.10 | − 0.08 | − 0.06 | 3.24 | 0.80 | 7.50 | 7.53 | |
BSESN | W = 2000 | 0.28 | 2.40 | 2.30 | 0.08 | 0.01 | − 0.10 | − 0.11 | 0.96 | 1.08 | 2.21 | 2.42 |
W = 3000 | 0.17 | 2.29 | 2.84 | − 0.14 | − 0.16 | 0.02 | − 0.02 | 1.00 | 0.75 | 2.87 | 2.80 | |
BVSP | W = 2000 | 0.33 | 0.80 | 1.80 | 0.08 | − 0.09 | − 0.06 | − 0.09 | 1.62 | 1.04 | 1.71 | 1.68 |
W = 3000 | 0.31 | 1.77 | 1.40 | 0.27 | − 0.05 | − 0.05 | − 0.31 | 1.52 | 0.95 | 1.49 | 1.55 | |
DJI | W = 2000 | 0.51 | 1.78 | 4.45 | − 0.07 | 0.01 | 0.03 | − 0.09 | 1.35 | 1.34 | 3.83 | 3.36 |
W = 3000 | 0.30 | 3.53 | 4.70 | − 0.04 | − 0.07 | 0.01 | 0.00 | 1.73 | 0.91 | 4.69 | 4.17 | |
FCHI | W = 2000 | − 0.03 | 2.05 | 6.52 | 0.16 | − 0.09 | − 0.04 | − 0.13 | 2.09 | 1.35 | 6.21 | 5.83 |
W = 3000 | − 0.37 | 2.44 | 6.80 | 0.61 | − 0.10 | − 0.05 | − 0.10 | 2.88 | 0.23 | 6.91 | 6.76 | |
FTMIB | W = 2000 | − 0.63 | − 1.78 | 6.37 | 0.78 | 0.08 | − 0.22 | − 0.10 | 0.68 | 0.19 | 6.15 | 6.09 |
W = 3000 | – | – | – | – | – | – | – | – | – | – | – | |
FTSE | W = 2000 | 0.22 | 5.06 | 5.61 | 0.23 | 0.09 | − 0.03 | − 0.09 | 3.42 | 2.16 | 5.09 | 4.86 |
W = 3000 | 0.08 | 6.39 | 5.28 | 1.36 | 0.00 | − 0.02 | − 0.03 | 4.09 | 1.41 | 5.55 | 5.64 | |
GDAXI | W = 2000 | − 0.17 | 1.31 | 6.12 | 0.30 | 0.02 | − 0.06 | − 0.08 | 2.62 | 1.05 | 5.65 | 5.31 |
W = 3000 | − 0.28 | 1.93 | 5.93 | 1.09 | 0.05 | − 0.04 | − 0.05 | 3.28 | 0.15 | 6.08 | 6.19 | |
GSPTSE | W = 2000 | − 0.05 | 1.49 | 3.15 | 0.02 | − 0.01 | − 0.04 | − 0.16 | 1.39 | 0.87 | 2.92 | 2.90 |
W = 3000 | − 0.21 | 1.21 | 4.46 | 0.36 | 0.03 | − 0.02 | − 0.12 | 2.24 | 0.41 | 4.58 | 4.53 | |
HSI | W = 2000 | 0.64 | 3.01 | 2.31 | 0.08 | − 0.01 | 0.01 | − 0.25 | 1.47 | 1.55 | 2.48 | 2.30 |
W = 3000 | 0.23 | 3.14 | 2.01 | − 0.06 | − 0.02 | − 0.07 | − 0.14 | 1.08 | 0.70 | 2.07 | 2.36 | |
IBEX | W = 2000 | − 0.05 | 0.08 | 4.36 | 0.12 | − 0.13 | − 0.03 | − 0.11 | 1.65 | 0.98 | 4.26 | 3.96 |
W = 3000 | − 0.29 | 1.39 | 3.40 | 0.46 | − 0.18 | − 0.04 | − 0.04 | 1.99 | 0.11 | 3.50 | 3.51 | |
KS11 | W = 2000 | 0.60 | 2.75 | 4.79 | 0.28 | − 0.01 | 0.03 | − 0.08 | 2.69 | 2.02 | 4.58 | 4.58 |
W = 3000 | 0.32 | 3.02 | 5.24 | 0.23 | − 0.04 | − 0.02 | 0.02 | 2.30 | 1.36 | 5.33 | 5.61 | |
KSE | W = 2000 | 0.37 | 0.80 | 0.15 | − 0.13 | − 0.10 | − 0.20 | − 0.10 | 0.17 | 0.48 | 0.10 | 0.07 |
W = 3000 | 0.36 | 0.88 | 0.25 | − 0.05 | − 0.03 | 0.03 | − 0.08 | 0.34 | 0.48 | 0.28 | 0.33 | |
MXX | W = 2000 | 0.70 | 2.43 | 1.13 | − 0.12 | − 0.06 | − 0.02 | 0.00 | 0.65 | 1.08 | 1.12 | 0.82 |
W = 3000 | 0.47 | 2.19 | 0.81 | 0.20 | 0.04 | 0.00 | − 0.04 | 0.89 | 0.88 | 0.87 | 1.02 | |
N225 | W = 2000 | 0.56 | 1.71 | 6.53 | 0.87 | − 0.04 | − 0.10 | − 0.06 | 3.38 | 2.69 | 6.55 | 7.03 |
W = 3000 | 0.00 | 3.17 | 7.15 | 0.95 | − 0.04 | − 0.07 | 0.02 | 4.02 | 1.63 | 7.33 | 7.76 | |
OMXC20 | W = 2000 | − 0.19 | 2.44 | 3.08 | 1.40 | 0.00 | − 0.08 | − 0.12 | 2.73 | 1.55 | 2.80 | 3.09 |
W = 3000 | − 0.35 | 2.22 | 1.51 | 1.79 | − 0.10 | − 0.16 | − 0.09 | 1.23 | 0.06 | 1.70 | 1.85 | |
OMXHPI | W = 2000 | − 0.56 | 3.17 | 6.62 | 1.58 | − 0.23 | − 0.08 | − 0.13 | 4.57 | 1.65 | 6.70 | 6.49 |
W = 3000 | − 1.20 | 2.32 | 6.03 | 1.53 | 0.05 | − 0.02 | − 0.32 | 2.64 | − 1.10 | 6.24 | 6.24 | |
OMXSPI | W = 2000 | − 0.28 | 3.46 | 8.08 | 1.05 | 0.07 | 0.00 | − 0.08 | 4.86 | 1.94 | 7.53 | 7.32 |
W = 3000 | − 0.63 | 3.13 | 8.41 | 1.83 | 0.30 | − 0.11 | − 0.01 | 4.36 | − 0.18 | 8.67 | 8.58 | |
OSEAX | W = 2000 | 0.21 | 3.44 | 4.95 | 0.60 | 0.06 | − 0.05 | − 0.09 | 2.96 | 1.92 | 4.44 | 4.31 |
W = 3000 | − 0.15 | 5.48 | 4.42 | 0.92 | 0.01 | − 0.05 | − 0.09 | 3.08 | 0.75 | 4.57 | 4.69 | |
SSEC | W = 2000 | − 0.05 | 0.05 | 2.19 | 0.07 | − 0.06 | − 0.06 | − 0.13 | 0.71 | 0.16 | 2.20 | 2.35 |
W = 3000 | − 0.04 | 0.09 | 2.54 | 0.06 | − 0.08 | − 0.12 | − 0.22 | 1.23 | 0.09 | 2.58 | 2.63 | |
SSMI | W = 2000 | 0.22 | 2.67 | 5.85 | 0.48 | 0.07 | − 0.06 | − 0.03 | 2.74 | 1.81 | 5.31 | 5.20 |
W = 3000 | − 0.12 | 3.43 | 5.36 | 0.90 | 0.07 | − 0.03 | − 0.01 | 3.23 | 0.71 | 5.49 | 5.37 | |
STOXX50E | W = 2000 | 0.04 | 1.42 | 4.86 | − 0.26 | − 0.23 | − 0.01 | − 0.04 | 1.97 | 1.27 | 4.85 | 4.66 |
W = 3000 | − 0.21 | 2.26 | 4.77 | 0.63 | − 0.14 | − 0.03 | − 0.04 | 2.50 | 0.37 | 4.90 | 4.74 |