From: The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
Sectors | Panel A | Panel B Relative RMSE | Panel C Clark and West (2007) | ||||||
---|---|---|---|---|---|---|---|---|---|
Parameter estimate | |||||||||
In sample | Out-of-Sample | In sample | Out-of-sample | ||||||
\(\varvec{h} = {\mathbf{30}}\) | \(\varvec{h} = {\mathbf{60}}\) | \(\varvec{h} = {\mathbf{120}}\) | \(\varvec{h} = {\mathbf{30}}\) | \(\varvec{h} = {\mathbf{60}}\) | \(\varvec{h} = {\mathbf{120}}\) | ||||
Composite | − 0.2168*** [0.0037] | 0.9030 | 0.9026 | 0.9029 | 0.9009 | 0.1944*** [0.0123] | 0.1885*** [0.0119] | 0.1823*** [0.0115] | 0.1739*** [0.0108] |
Consumer discretionary | − 0.2021*** [0.0004] | 0.8571 | 0.8566 | 0.8668 | 0.8774 | 0.1974*** [0.0161] | 0.1949*** [0.0155] | 0.1823*** [0.0152] | 0.1650*** [0.0101] |
Consumer staples | − 0.3673*** [0.0040] | 0.9289 | 0.9267 | 0.9261 | 0.9240 | 0.0611*** [0.0041] | 0.0608*** [0.0040] | 0.0598*** [0.0038] | 0.0588*** [0.0036] |
Energy | − 0.6597*** [0.0033] | 0.6856 | 0.7139 | 0.7262 | 0.7691 | 1.2653*** [0.0937] | 1.2321*** [0.0906] | 1.2057*** [0.0876] | 1.1267*** [0.0825] |
Financials | − 0.3433*** [0.0029] | 0.7650 | 0.7662 | 0.7725 | 0.7744 | 0.5095*** [0.0471] | 0.4947*** [0.0455] | 0.4791*** [0.0440] | 0.4640*** [0.0412] |
Health Care | − 0.3106*** [0.0036] | 0.9066 | 0.9031 | 0.9035 | 0.8970 | 0.1616*** [0.0174] | 0.1628*** [0.0168] | 0.0890*** [0.0054] | 0.0962*** [0.0052] |
Industrials | − 0.3990*** [0.0041] | 0.7695 | 0.7686 | 0.7715 | 0.7716 | 0.3466*** [0.0331] | 0.3381*** [0.0320] | 0.3306*** [0.0309] | 0.3239*** [0.0289] |
Info. Technology | − 0.3100*** [0.0048] | 0.9065 | 0.9048 | 0.9074 | 0.9114 | 0.2335*** [0.0148] | 0.2282*** [0.0143] | 0.2207*** [0.0139] | 0.2084*** [0.0131] |
Materials | − 0.2377*** [0.0021] | 0.8448 | 0.8452 | 0.8460 | 0.8453 | 0.2471*** [0.0161] | 0.2389*** [0.0156] | 0.2315*** [0.0151] | 0.2203*** [0.0142] |
Real Estate | − 0.0852*** [0.0007] | 0.8415 | 0.8434 | 0.8432 | 0.8452 | 0.2635*** [0.0197] | 0.2555*** [0.0190] | 0.2542*** [0.0183] | 0.2501*** [0.0172] |
Telecommunications | − 0.2381*** [0.0011] | 0.8587 | 0.8580 | 0.8672 | 0.8701 | 0.1254*** [0.0099] | 0.1235*** [0.0096] | 0.1189*** [0.0093] | 0.1179*** [0.0087] |
Utilities | − 0.1155*** [0.0005] | 0.9609 | 0.9608 | 0.9608 | 0.9599 | 0.0980*** [0.0037] | 0.0946*** [0.0036] | 0.0916*** [0.0036] | 0.0868*** [0.0034] |