Table 9 Robustness check for using realized semi-variance as dependent variable
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 | 0.00% | 3.15% | 27.25% | 1.97% | − 0.02% | − 0.06% | − 0.07% | 7.93% | 5.32% | 22.57% | 22.99% |
(1.945*) | (9.021***) | (19.287***) | (8.688***) | (0.779) | (0.151) | (0.526) | (14.187***) | (11.494***) | (17.559***) | (16.315***) | |
BFX | − 0.02% | 3.03% | 3.61% | 0.34% | − 0.11% | 0.11% | − 0.13% | 1.32% | 1.14% | 3.13% | 3.13% |
(1.220) | (8.414***) | (8.920***) | (3.760***) | (− 0.285) | (2.229**) | (− 2.180**) | (6.615***) | (6.164***) | (8.088***) | (7.637***) | |
BSESN | 0.31% | 1.80% | 1.52% | 0.04% | − 0.04% | − 0.11% | − 0.09% | 0.76% | 1.01% | 1.16% | 1.37% |
(3.403***) | (5.905***) | (7.153***) | (1.695*) | (0.893) | (0.224) | (0.907) | (5.675***) | (5.729***) | (6.537***) | (6.797***) | |
BVSP | 0.05% | 0.69% | 0.31% | − 0.02% | − 0.14% | − 0.11% | − 0.09% | 0.42% | 0.40% | 0.46% | 0.56% |
(2.102**) | (5.015***) | (3.571***) | (1.281) | (− 0.723) | (− 1.130) | (− 0.180) | (4.073***) | (4.074***) | (4.236***) | (4.710***) | |
DJI | 0.09% | 1.80% | 0.36% | − 0.11% | − 0.11% | − 0.10% | − 0.16% | 0.15% | 0.32% | 0.26% | 0.36% |
(1.851*) | (8.427***) | (3.480***) | (− 0.607) | (− 1.001) | (− 2.816**) | (− 0.777) | (2.289**) | (3.309***) | (2.864***) | (3.231***) | |
FCHI | 0.08% | 2.96% | 3.76% | 0.73% | − 0.11% | − 0.05% | − 0.12% | 1.32% | 1.45% | 3.50% | 3.55% |
(2.133**) | (8.943***) | (9.869***) | (5.374***) | (− 0.390) | (0.217) | (− 1.476) | (6.938***) | (7.150***) | (9.621***) | (8.958***) | |
FTMIB | − 0.16% | 1.70% | 2.80% | 0.35% | − 0.10% | − 0.02% | − 0.20% | 0.91% | 0.77% | 2.73% | 2.78% |
(0.528) | (5.177***) | (6.628***) | (2.827***) | (− 0.122) | (0.469) | (− 1.320) | (3.853***) | (3.611***) | (6.311***) | (5.834***) | |
FTSE | 0.15% | 4.21% | 9.36% | 0.89% | − 0.08% | 0.00% | − 0.13% | 3.55% | 2.85% | 7.41% | 7.97% |
(2.539**) | (9.941***) | (13.069***) | (5.894***) | (0.530) | (0.994) | (− 0.396) | (9.919***) | (9.515***) | (11.500***) | (10.304***) | |
GDAXI | − 0.01% | 1.99% | 3.49% | 0.74% | − 0.18% | − 0.03% | − 0.18% | 1.36% | 1.12% | 2.99% | 3.22% |
(1.570) | (8.347***) | (9.522***) | (4.950***) | (− 0.884) | (0.737) | (− 1.777*) | (6.808***) | (6.243***) | (9.438***) | (9.281***) | |
GSPTSE | − 0.10% | 1.33% | 1.06% | − 0.03% | − 0.14% | − 0.04% | − 0.06% | 0.63% | 0.33% | 0.87% | 1.01% |
(0.453) | (6.703***) | (5.398***) | (1.197) | (− 1.413) | (0.623) | (0.196) | (4.370***) | (3.336***) | (4.870***) | (5.142***) | |
HSI | 0.29% | 1.41% | 0.37% | − 0.06% | − 0.15% | − 0.12% | − 0.19% | 0.31% | 0.75% | 0.38% | 0.51% |
(3.328***) | (6.599***) | (3.658***) | (1.164) | (− 2.253**) | (− 1.029) | (− 0.109) | (3.185***) | (4.896***) | (3.636***) | (3.655***) | |
IBEX | 0.08% | 1.57% | 2.31% | 0.47% | − 0.11% | 0.08% | − 0.06% | 1.06% | 1.04% | 2.12% | 2.35% |
(2.053**) | (7.815***) | (7.922***) | (4.280***) | (0.547) | (1.777*) | (0.361) | (6.291***) | (6.232***) | (7.892***) | (7.740***) | |
KS11 | 0.48% | 2.31% | 1.13% | − 0.09% | − 0.14% | − 0.23% | − 0.15% | 0.34% | 1.02% | 0.66% | 1.01% |
(4.145***) | (7.185***) | (5.891***) | (− 0.027) | (− 0.993) | (− 1.042) | (− 1.028) | (3.507***) | (5.780***) | (4.443***) | (5.104***) | |
KSE | − 0.11% | 0.17% | 0.43% | − 0.17% | − 0.01% | − 0.13% | − 0.10% | 0.08% | 0.02% | 0.37% | 0.35% |
(0.299) | (2.463**) | (4.235***) | (− 0.898) | (0.848) | (− 0.164) | (− 1.463) | (2.068**) | (1.586) | (3.965***) | (3.979***) | |
MXX | 0.12% | 0.17% | 0.16% | − 0.09% | − 0.27% | − 0.11% | − 0.08% | 0.15% | 0.25% | 0.14% | 0.21% |
(2.372**) | (4.353***) | (2.639***) | (1.091) | (− 2.857***) | (− 1.716*) | (− 0.948) | (2.362**) | (3.220***) | (2.761***) | (2.839***) | |
N225 | 0.25% | 1.15% | 5.86% | 0.51% | − 0.14% | − 0.12% | − 0.13% | 2.57% | 2.12% | 5.97% | 6.39% |
(3.250***) | (6.506***) | (10.649***) | (4.254***) | (− 3.016***) | (− 1.680*) | (− 0.761) | (7.849***) | (7.525***) | (10.285***) | (9.296***) | |
OMXC20 | 0.46% | 2.33% | 2.44% | 0.60% | − 0.16% | − 0.01% | − 0.11% | 1.64% | 2.57% | 2.78% | 3.15% |
(3.852***) | (6.787***) | (6.620***) | (4.660***) | (− 1.208) | (0.822) | (− 1.413) | (6.389***) | (7.665***) | (6.646***) | (6.207***) | |
OMXHPI | 0.39% | 3.86% | 2.58% | 0.66% | − 0.22% | 0.01% | − 0.08% | 2.71% | 2.08% | 2.75% | 3.09% |
(3.625***) | (7.915***) | (7.852***) | (3.962***) | (− 0.660) | (1.325) | (0.174) | (8.199***) | (7.253***) | (7.879***) | (7.850***) | |
OMXSPI | 0.24% | 3.27% | 4.17% | 0.77% | − 0.23% | 0.24% | − 0.07% | 3.25% | 1.88% | 4.23% | 4.44% |
(2.779***) | (7.481***) | (9.330***) | (4.425***) | (− 0.480) | (2.748***) | (0.141) | (8.312***) | (6.793***) | (9.146***) | (8.867***) | |
OSEAX | 0.24% | 3.17% | 11.19% | 0.83% | − 0.17% | − 0.07% | − 0.12% | 5.19% | 3.49% | 8.58% | 9.16% |
(3.444***) | (9.081***) | (13.135***) | (5.459***) | (− 1.030) | (0.502) | (− 0.842) | (10.977***) | (10.051***) | (11.224***) | (10.196***) | |
SSEC | − 0.09% | − 0.13% | 0.46% | − 0.09% | − 0.19% | − 0.01% | − 0.16% | 0.15% | 0.01% | 0.12% | 0.13% |
(0.242) | (2.485**) | (4.110***) | (− 0.600) | (− 1.547) | (0.674) | (− 0.589) | (2.132**) | (1.198) | (2.778***) | (2.804***) | |
SSMI | 0.17% | 1.83% | 3.63% | 0.50% | − 0.08% | − 0.09% | − 0.01% | 1.55% | 1.52% | 3.36% | 3.67% |
(2.719***) | (8.146***) | (9.403***) | (4.267***) | (− 1.480) | (− 0.436) | (0.776) | (7.469***) | (7.048***) | (9.157***) | (8.843***) | |
STOXX50E | − 0.01% | 2.80% | 5.83% | 0.81% | − 0.18% | − 0.02% | − 0.19% | 2.15% | 1.63% | 4.30% | 4.87% |
(1.496) | (8.727***) | (11.030***) | (5.237***) | (− 0.182) | (0.289) | (− 2.850***) | (8.561***) | (7.647***) | (10.392***) | (10.007***) |