Table 5 Time series regression of...

Table 5

Time series regression of skewness and kurtosis of S&P 500 returns

Intercept	Imp	Lagged Prac- Real	Lagged Conv-Real	Hist	Adj. R²
Panel A. Regression of practical realized skewness
−0.20	0.67				0.22
(−2.30)	(9.42)
−0.68		0.39			0.15
(−7.59)		(4.68)
−1.12			0.09		0.00
(−22.18)			(0.32)
−1.11				0.00	0.00
(−23.26)				(−0.02)
−0.18	0.55	0.18	0.27	0.03	0.24
(−1.98)	(6.10)	(2.20)	(1.07)	(0.93)
Panel B. Regression of practical realized kurtosis
1.48	0.48				0.10
(3.25)	(6.27)
3.18		0.27			0.07
(7.01)		(3.40)
49.86			15.92		0.01
(1.97)			(1.80)
4.49				−0.70	0.01
(10.58)				(−1.73)
24.08	0.36	0.16	7.88	−0.13	0.12
(0.95)	(4.72)	(2.29)	(0.88)	(−0.33)
Panel C. Regression of practical realized coskewness
0.074	1.403				0.345
(6.89)	(52.95)
−0.343		0.387			0.142
(−46.10)		(29.62)
−0.555			0.193		0.003
(−107.03)			(4.01)
−0.545				−0.090	0.011
(−105.66)				(−8.68)
0.073	1.278	0.104	0.098	0.009	0.353
(6.83)	(42.59)	(7.98)	(2.67)	(1.11)

Intercept	Imp	Lagged Prac- Real	Lagged Conv-Real	Hist	Adj. R²
Panel A. Regression of practical realized skewness
−0.20	0.67				0.22
(−2.30)	(9.42)
−0.68		0.39			0.15
(−7.59)		(4.68)
−1.12			0.09		0.00
(−22.18)			(0.32)
−1.11				0.00	0.00
(−23.26)				(−0.02)
−0.18	0.55	0.18	0.27	0.03	0.24
(−1.98)	(6.10)	(2.20)	(1.07)	(0.93)
Panel B. Regression of practical realized kurtosis
1.48	0.48				0.10
(3.25)	(6.27)
3.18		0.27			0.07
(7.01)		(3.40)
49.86			15.92		0.01
(1.97)			(1.80)
4.49				−0.70	0.01
(10.58)				(−1.73)
24.08	0.36	0.16	7.88	−0.13	0.12
(0.95)	(4.72)	(2.29)	(0.88)	(−0.33)
Panel C. Regression of practical realized coskewness
0.074	1.403				0.345
(6.89)	(52.95)
−0.343		0.387			0.142
(−46.10)		(29.62)
−0.555			0.193		0.003
(−107.03)			(4.01)
−0.545				−0.090	0.011
(−105.66)				(−8.68)
0.073	1.278	0.104	0.098	0.009	0.353
(6.83)	(42.59)	(7.98)	(2.67)	(1.11)

Note(s): Panel A represents the time series regression of the practical realized skewness of monthly S&P 500 returns. Each row represents regression coefficients with t-values in parentheses. The dependent variable is practical realized skewness, and the independent variables are implied, lagged practical realized, lagged conventional realized, and historical skewness, where historical skewness is a sample estimate based on 24 monthly returns. Panel B represents the time series regression of the practical realized kurtosis of the monthly returns of the S&P 500. Panel C presents the pooled regression results of practical realized coskewness between the S&P 500 index and individual stocks constituting the Dow Jones Industrial Average

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