Table 6 Effect of changing base assets:...

Table 6

Effect of changing base assets: Monthly excess stock market returns against conditional variances, implied variance and volatility innovations with uncertainty

Model	a₁(c₁)	b₁(d₁)	e₁	a₂(c₂)	b₂(d₂)	e₂	Adj. R² (%)
Panel A: Rolling window model
(1)	0.0047^** (2.2807)	0.7103 (0.5370)		0.0091^* (1.8862)	−2.6101^** (−2.0908)		5.011
(1)-I	0.0122^*** (6.6835)	−2.7464^*** (−5.5376)	−7.9227^*** (−4.0513)	0.0044 (1.0775)	0.1885 (0.4715)	4.7460^** (2.3193)	28.202

Model	a₁(c₁)	b₁(d₁)	e₁	a₂(c₂)	b₂(d₂)	e₂	Adj. R² (%)
Panel A: Rolling window model
(1)	0.0047^** (2.2807)	0.7103 (0.5370)		0.0091^* (1.8862)	−2.6101^** (−2.0908)		5.011
(1)-I	0.0122^*** (6.6835)	−2.7464^*** (−5.5376)	−7.9227^*** (−4.0513)	0.0044 (1.0775)	0.1885 (0.4715)	4.7460^** (2.3193)	28.202

Panel B: MIDAS
(2)	6.16 × 10^–4 (0.2073)	2.1687 (1.5972)		0.0134^** (2.4910)	−3.9496^*** (−3.2137)		11.574
(2)-I	0.0071^** (2.5341)	−2.2098^* (−1.8503)	−7.5649^*** (−4.9085)	0.0106^** (2.4745)	−0.5689 (−0.8406)	4.5440^*** (3.5333)	30.292

Panel B: MIDAS
(2)	6.16 × 10^–4 (0.2073)	2.1687 (1.5972)		0.0134^** (2.4910)	−3.9496^*** (−3.2137)		11.574
(2)-I	0.0071^** (2.5341)	−2.2098^* (−1.8503)	−7.5649^*** (−4.9085)	0.0106^** (2.4745)	−0.5689 (−0.8406)	4.5440^*** (3.5333)	30.292

Panel C: GARCH(1,1)
(3)	7.01 × 10^–4 (0.2679)	2.5984^* (1.6937)		0.0119^** (2.3336)	−4.2979^*** (−3.3846)		5.791
(3)-I	0.0046^** (2.3424)	0.4081 (0.7875)	−5.5747^*** (−5.9793)	0.0107^** (2.2613)	−2.9283^*** (−6.3800)	2.4849^*** (2.8758)	25.453

Panel C: GARCH(1,1)
(3)	7.01 × 10^–4 (0.2679)	2.5984^* (1.6937)		0.0119^** (2.3336)	−4.2979^*** (−3.3846)		5.791
(3)-I	0.0046^** (2.3424)	0.4081 (0.7875)	−5.5747^*** (−5.9793)	0.0107^** (2.2613)	−2.9283^*** (−6.3800)	2.4849^*** (2.8758)	25.453

Panel D: GJR-GARCH(1,1)
(4)	−4.94 × 10^–4 (−0.1401)	3.4187 (1.3866)		0.0159^*** (2.6747)	−5.8519^*** (−3.0361)		6.475
(4)-I	0.0016 (0.6730)	2.2752^*** (2.8449)	−5.8743^*** (−4.6154)	0.0141^*** (3.0637)	−5.4546^*** (−6.4976)	−1.1363 (−1.2380)	29.348

Panel D: GJR-GARCH(1,1)
(4)	−4.94 × 10^–4 (−0.1401)	3.4187 (1.3866)		0.0159^*** (2.6747)	−5.8519^*** (−3.0361)		6.475
(4)-I	0.0016 (0.6730)	2.2752^*** (2.8449)	−5.8743^*** (−4.6154)	0.0141^*** (3.0637)	−5.4546^*** (−6.4976)	−1.1363 (−1.2380)	29.348

Panel E: Implied variance
(5)	−3.06 × 10^–4 (−0.0821)	0.2038 (1.1870)		0.0126^* (1.9672)	−0.3308^*** (−3.1085)		1.327
(5)-I	−0.0034 (−1.2084)	0.4914^*** (4.1071)	0.6606^*** (2.9415)	0.0148^** (2.0418)	−0.4514^*** (−2.9167)	−1.2630^*** (−4.4360)	11.300

Panel E: Implied variance
(5)	−3.06 × 10^–4 (−0.0821)	0.2038 (1.1870)		0.0126^* (1.9672)	−0.3308^*** (−3.1085)		1.327
(5)-I	−0.0034 (−1.2084)	0.4914^*** (4.1071)	0.6606^*** (2.9415)	0.0148^** (2.0418)	−0.4514^*** (−2.9167)	−1.2630^*** (−4.4360)	11.300

Note(s): The table reports estimates from the regressions of monthly excess stock market returns against conditional variances, implied variance and volatility innovations. Models (1) to (5) are estimates from the regressions with conditional variance, implied variance and a dummy variable of FEPU or FVOV. Models (1)-I to (5)-I are estimates from the regressions with conditional variance, implied variance, volatility innovations and a dummy variable of FEPU or FVOV. Newey and West (1987) corrected t-statistics are reported in parentheses. ^*, ^** and ^*** represent significance at the 10, 5 and 1% levels, respectively

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