Predictive quantile regressions of Pakistan's market returns
| Quantiles | |||||
|---|---|---|---|---|---|
| Predictor | 0.05 | 0.10 | 0.50 | 0.90 | 0.95 |
| Panel A: EW higher moments | |||||
| Constant | −0.1581 (0.008)*** | −0.1361 (0.004)*** | −0.0736 (0.043)** | 0.0681 (0.307) | 0.1161 (0.123) |
| Vm,t | −0.0004 (0.423) | −0.0004 (0.471) | −0.0001 (0.794) | 0.0007 (0.081)* | 0.0006 (0.354) |
| Skm,t | 0.0188 (0.696) | 0.0112 (0.767) | 0.0411 (0.187) | 0.0354 (0.524) | 0.1086 (0.236) |
| KTm,t | 0.0921 (0.258) | 0.0955 (0.138) | 0.0484 (0.547) | −0.0086 (0.938) | −0.0105 (0.949) |
| VEW,t | 0.0219 (0.589) | 0.0213 (0.583) | −0.0055 (0.870) | −0.0404 (0.347) | −0.0449 (0.168) |
| SkEW,t | 0.2249 (0.104) | 0.2678 (0.036)** | 0.1323 (0.042)** | 0.4514 (0.000)*** | 0.5377 (0.005)*** |
| KTEW,t | 0.3043 (0.177) | 0.2524 (0.137) | 0.3501 (0.017)* | 0.1262 (0.532) | 0.0514 (0.860) |
| Panel B: VW higher moments | |||||
| Constant | −0.1631 (0.000)*** | −0.1281 (0.000)*** | −0.0249 (0.328) | 0.0124 (0.869) | 0.0604 (0.634) |
| Vm,t | 0.0000 (0.989) | 0.0000 (0.968) | −0.0001 (0.860) | 0.0008 (0.200) | 0.0007 (0.243) |
| Skm,t | 0.0390 (0.536) | 0.0563 (0.119) | 0.0237 (0.475) | 0.0372 (0.618) | 0.0436 (0.613) |
| KTm,t | 0.0704 (0.493) | 0.0131 (0.808) | 0.0173 (0.834) | 0.0038 (0.977) | 0.0863 (0.652) |
| VVW,t | 0.0642 (0.889) | 0.0405 (0.869) | −0.0373 (0.862) | −0.1176 (0.699) | −0.1906 (0.715) |
| SkVW,t | 0.1107 (0.296) | 0.1691 (0.033)** | 0.0968 (0.008)*** | 0.2264 (0.007)*** | 0.2936 (0.042)** |
| KTVW,t | 0.3364 (0.116) | 0.3133 (0.092)* | 0.1764 (0.166) | 0.3599 (0.329) | 0.1459 (0.834) |
| Quantiles | |||||
|---|---|---|---|---|---|
| Predictor | 0.05 | 0.10 | 0.50 | 0.90 | 0.95 |
| Constant | −0.1581 (0.008)*** | −0.1361 (0.004)*** | −0.0736 (0.043)** | 0.0681 (0.307) | 0.1161 (0.123) |
| −0.0004 (0.423) | −0.0004 (0.471) | −0.0001 (0.794) | 0.0007 (0.081)* | 0.0006 (0.354) | |
| Sk | 0.0188 (0.696) | 0.0112 (0.767) | 0.0411 (0.187) | 0.0354 (0.524) | 0.1086 (0.236) |
| KT | 0.0921 (0.258) | 0.0955 (0.138) | 0.0484 (0.547) | −0.0086 (0.938) | −0.0105 (0.949) |
| 0.0219 (0.589) | 0.0213 (0.583) | −0.0055 (0.870) | −0.0404 (0.347) | −0.0449 (0.168) | |
| SkEW, | 0.2249 (0.104) | 0.2678 (0.036)** | 0.1323 (0.042)** | 0.4514 (0.000)*** | 0.5377 (0.005)*** |
| KTEW, | 0.3043 (0.177) | 0.2524 (0.137) | 0.3501 (0.017)* | 0.1262 (0.532) | 0.0514 (0.860) |
| Constant | −0.1631 (0.000)*** | −0.1281 (0.000)*** | −0.0249 (0.328) | 0.0124 (0.869) | 0.0604 (0.634) |
| 0.0000 (0.989) | 0.0000 (0.968) | −0.0001 (0.860) | 0.0008 (0.200) | 0.0007 (0.243) | |
| Sk | 0.0390 (0.536) | 0.0563 (0.119) | 0.0237 (0.475) | 0.0372 (0.618) | 0.0436 (0.613) |
| KT | 0.0704 (0.493) | 0.0131 (0.808) | 0.0173 (0.834) | 0.0038 (0.977) | 0.0863 (0.652) |
| 0.0642 (0.889) | 0.0405 (0.869) | −0.0373 (0.862) | −0.1176 (0.699) | −0.1906 (0.715) | |
| SkVW, | 0.1107 (0.296) | 0.1691 (0.033)** | 0.0968 (0.008)*** | 0.2264 (0.007)*** | 0.2936 (0.042)** |
| KTVW, | 0.3364 (0.116) | 0.3133 (0.092)* | 0.1764 (0.166) | 0.3599 (0.329) | 0.1459 (0.834) |
Note(s): Panel A reports the estimates of quantile predictive regressions of Pakistan's EW index one-month-ahead returns rmt+1 with EW scheme, and Panel B reports the parameters with VW scheme. The parameter coefficients are reported with their associated p-values based on robust standard errors in parentheses. (***), (**) and (*) represent significance at 1, 5 and 10%, respectively. The sample period is July 2002 to June 2020
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