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] | 0.9086 | 0.9085 | 0.9075 | 0.9072 | 0.1722*** [0.0114] | 0.1670*** [0.0111] | 0.1628*** [0.0107] | 0.1542*** [0.0101] |
Consumer discretionary | − 0.2021*** [0.0004] | 0.8633 | 0.8664 | 0.8660 | 0.8724 | 0.1803*** [0.0114] | 0.1733*** [0.0111] | 0.1682*** [0.0108] | 0.1560*** [0.0102] |
Consumer staples | − 0.1787*** [0.0004] | 0.9178 | 0.9515 | 0.9685 | 0.9752 | 0.1069*** [0.0086] | 0.1068*** [0.0083] | 0.1105*** [0.0081] | 0.1198*** [0.0077] |
Energy | − 0.6393*** [0.0076] | 0.6823 | 0.6826 | 0.6856 | 0.6978 | 1.0813*** [0.0866] | 1.0460*** [0.0839] | 1.0110*** [0.0814] | 0.9468*** [0.0768] |
Financials | − 0.3433*** [0.0029] | 0.7630 | 0.7627 | 0.7627 | 0.7649 | 0.4771*** [0.0447] | 0.4624*** [0.0432] | 0.4486*** [0.0419] | 0.4208*** [0.0395] |
Health Care | − 0.3129*** [0.0027] | 0.9202 | 0.9208 | 0.9165 | 0.9084 | 0.0770*** [0.0056] | 0.0797*** [0.0054] | 0.0835*** [0.0053] | 0.0864*** [0.0050] |
Industrials | − 0.3928*** [0.0019] | 0.7608 | 0.7612 | 0.7591 | 0.7600 | 0.3900*** [0.0398] | 0.3794*** [0.0385] | 0.3712*** [0.0373] | 0.3506*** [0.0351] |
Info. Technology | − 0.2999*** [0.0030] | 0.9158 | 0.9199 | 0.9188 | 0.9161 | 0.2090*** [0.0136] | 0.1999*** [0.0133] | 0.1952*** [0.0128] | 0.1880*** [0.0121] |
Materials | − 0.2377*** [0.0021] | 0.8500 | 0.8499 | 0.8493 | 0.8496 | 0.2436*** [0.0156] | 0.2360*** [0.0151] | 0.2292*** [0.0147] | 0.2161*** [0.0139] |
Real Estate | − 0.2423*** [0.0005] | 0.7951 | 0.7952 | 0.7958 | 0.7964 | 0.3844*** [0.0339] | 0.3716*** [0.0328] | 0.3599*** [0.0318] | 0.3392*** [0.0300] |
Telecommunications | − 0.2381*** [0.0011] | 0.8657 | 0.8742 | 0.8753 | 0.8644 | 0.1217*** [0.0104] | 0.1204*** [0.0100] | 0.1210*** [0.0097] | 0.1254*** [0.0092] |
Utilities | − 0.2168*** [0.0037] | 0.8456 | 0.8455 | 0.8451 | 0.8450 | 0.1722*** [0.0114] | 0.1670*** [0.0111] | 0.1628*** [0.0107] | 0.1542*** [0.0101] |