Table 3 Correlations of monthly excess...

Table 3

Correlations of monthly excess stock market returns, conditional variances and implied variance

	R_t+1	$σ_{R W, t + 1}^{2}$	$σ_{M, t + 1}^{2}$	$σ_{G, t + 1}^{2}$	$σ_{G J R, t + 1}^{2}$
$σ_{R W, t + 1}^{2}$	−0.2122^***
$σ_{M, t + 1}^{2}$	−0.2795^***	0.7587^***
$σ_{G, t + 1}^{2}$	−0.1738^**	0.9564^***	0.8389^***
$σ_{G J R, t + 1}^{2}$	−0.1917^***	0.9117^***	0.9019^***	0.9629^***
$σ_{I V, t + 1}^{2}$	−0.0545	0.8976^***	0.6935^***	0.8927^***	0.8888^***

Note(s): The table reports correlations between monthly excess stock market returns, conditional variances and implied variance. All variable definitions are identical to those in Table 2. ^** and ^*** represent significance at the 5 and 1% levels, respectively

[ViewLarge]

Sharing Unavailable