Results table
| Variable | Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | OLS |
|---|---|---|---|---|---|---|---|---|---|---|
| C | 0.0047 (0.0097) | 0.0049 (0.0126) | 0.0032 (0.0221) | 0.0024 (0.0515) | 0.0021 (0.0274) | 0.0018 (0.1013) | 0.0019 (0.1441) | 0.0011 (0.4140) | 0.0012 (0.5944) | 0.0036 (0.1469) |
| BOND RETURN | 1.3577*** (0.0000) | 1.3967*** (0.0000) | 1.3337*** (0.0000) | 1.4253*** (0.0000) | 1.4079*** (0.0000) | 1.5027**** (0.0000) | 1.5353*** (0.0000) | 1.4886*** (0.0000) | 1.3123*** (0.0000) | 1.7052*** (0.0000) |
| VIX | −0.0007*** (0.0000) | −0.0006*** (0.0000) | −0.0004*** (0.0000) | −0.0003*** (0.0000) | −0.0001*** (0.0017) | −7.1E05 (0.2933) | 6.0E05 (0.3772) | 0.0001*** (0.0047) | 0.0002 (0.2184) | −0.0002 (0.1267) |
| OVX | −6.6E05 (0.3454) | −1.9E05 (0.7270) | 4.2E05 (0.4604) | 8.5E05*** (0.0067) | 7.0E05*** (0.0008) | 8.4E05*** (0.0003) | 7.1E05** (0.0226) | 0.0001*** (0.0015) | 0.0001 (0.2185) | 3.4E−05 (0.5165) |
| GGPR | −7.5E06 (0.4896) | −6.3E06 (0.5073) | −5.1E06 (0.4321) | −6.7E06 (0.2809) | −4.6E06 (0.3548) | −5.7E06 (0.3103) | −3.8E06 (0.4959) | 4.6E07 (0.9555) | 1.3E05 (0.4300) | −3.8E−06 (0.7725) |
| TRI | 0.0219 (0.5141) | 0.0095 (0.6302) | 0.0207 (0.1126) | 0.0132 (0.3294) | 0.0039 (0.7784) | −0.0154 (0.3166) | −0.0266** (0.0348) | −0.0333** (0.0136) | −0.0479*** (0.0087) | 0.0058 (0.8722) |
| PRI | −0.0423* (0.0651) | −0.0168 (0.3315) | −0.0242* (0.0766) | −0.0122 (0.3984) | −0.0125 (0.3966) | −0.0047 (0.7423) | −0.0080 (0.5714) | 0.0050 (0.7589) | −0.0077 (0.6822) | −0.0450 (0.2334) |
| Variable | Q1 | Q2 | Q3 | Q4 | Q5 | Q6 | Q7 | Q8 | Q9 | OLS |
|---|---|---|---|---|---|---|---|---|---|---|
| C | 0.0047 (0.0097) | 0.0049 (0.0126) | 0.0032 (0.0221) | 0.0024 (0.0515) | 0.0021 (0.0274) | 0.0018 (0.1013) | 0.0019 (0.1441) | 0.0011 (0.4140) | 0.0012 (0.5944) | 0.0036 (0.1469) |
| BOND | 1.3577*** (0.0000) | 1.3967*** (0.0000) | 1.3337*** (0.0000) | 1.4253*** (0.0000) | 1.4079*** (0.0000) | 1.5027**** (0.0000) | 1.5353*** (0.0000) | 1.4886*** (0.0000) | 1.3123*** (0.0000) | 1.7052*** (0.0000) |
| VIX | −0.0007*** (0.0000) | −0.0006*** (0.0000) | −0.0004*** (0.0000) | −0.0003*** (0.0000) | −0.0001*** (0.0017) | −7.1E05 (0.2933) | 6.0E05 | 0.0001*** (0.0047) | 0.0002 (0.2184) | −0.0002 (0.1267) |
| OVX | −6.6E05 (0.3454) | −1.9E05 (0.7270) | 4.2E05 (0.4604) | 8.5E05*** (0.0067) | 7.0E05*** (0.0008) | 8.4E05*** (0.0003) | 7.1E05** (0.0226) | 0.0001*** (0.0015) | 0.0001 (0.2185) | 3.4E−05 (0.5165) |
| GGPR | −7.5E06 (0.4896) | −6.3E06 (0.5073) | −5.1E06 (0.4321) | −6.7E06 (0.2809) | −4.6E06 (0.3548) | −5.7E06 (0.3103) | −3.8E06 (0.4959) | 4.6E07 (0.9555) | 1.3E05 (0.4300) | −3.8E−06 (0.7725) |
| TRI | 0.0219 (0.5141) | 0.0095 (0.6302) | 0.0207 (0.1126) | 0.0132 (0.3294) | 0.0039 (0.7784) | −0.0154 (0.3166) | −0.0266** (0.0348) | −0.0333** (0.0136) | −0.0479*** (0.0087) | 0.0058 (0.8722) |
| PRI | −0.0423* (0.0651) | −0.0168 (0.3315) | −0.0242* (0.0766) | −0.0122 (0.3984) | −0.0125 (0.3966) | −0.0047 (0.7423) | −0.0080 (0.5714) | 0.0050 (0.7589) | −0.0077 (0.6822) | −0.0450 (0.2334) |
Note(s): ***, **, and * significant at 1%, 5%, and 10%, respectively
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