Table 3 Regression results from...

Table 3

Regression results from descriptive and predictive models of ATVOL, regress on AGSV, Awiki and other control variables. Columns (1)–(6) report results from a single regression models to explain the various independent variables. Columns (6) corresponds to multiple explanatory regressions model. Columns (7)–(11) display the corresponding results for predictive models

Dependent variable: ATYOL
Explanatory models							Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
ATVOL_t−1	0.334*** [0.068]	0.397*** [0.080]	0.380*** [0.083]	0.375*** [0.076]	0.270*** [0.054]	0.242*** [0.061]	ATVOL_t−1	0.397*** [0.081]	0.379*** [0.081]	0.369*** [0.072]	0.362*** [0.075]	0.456*** [0.107]
AGSV		−0.039*** [0.097]				0.009 [0.049]	AGSV_t−1	−0.089 [0.062]				−0.047 [0.063]
Awiki			0.073 [0.062]			0.108*** [0.057]	Awiki_t−1		0.103 [0.061]			0.011 [0.066]
ARET				−1.176 [2.622]		−0.640 [2.697]	ARET_t−1			−7.141** [2.252]		−8.388*** [2.607]
Volatility					107.797*** [15.591]	180.085*** [21.708]	Volatility_t−1				−17.373* [17.065]	−147.160** [27.538]
Constant	−0.022*** [0.055]	−0.009*** [0.089]	0.016*** [0.069]	−0.052*** [0.076]	−1.349*** [0.191]	−2.460 [0.298]	Constant	−0.007*** [0.062]	0.028*** [0.070]	−0.145*** [0.056]	0.192 [0.229]	0.541 [0.399]
R-Squared	0.111	0.159	0.162	0.144	0.267	0.422	R-Squared	0.165	0.168	0.175	0.114	0.216
Adjust. R²	0.108	0.151	0.154	0.137	0.262	0.407	Adjust. R²	0.157	0.160	0.166	0.108	0.197
Durbin-W	1.994	1.980	1.972	1.992	1.772	1.827	Durbin-W	1.981	1.985	1.982	1.995	1.992

Dependent variable: ATYOL
Explanatory models							Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
ATVOL_t−1	0.334***[0.068]	0.397***[0.080]	0.380***[0.083]	0.375***[0.076]	0.270***[0.054]	0.242***[0.061]	ATVOL_t−1	0.397***[0.081]	0.379***[0.081]	0.369***[0.072]	0.362***[0.075]	0.456***[0.107]
AGSV		−0.039*** [0.097]				0.009 [0.049]	AGSV_t−1	−0.089 [0.062]				−0.047 [0.063]
Awiki			0.073 [0.062]			0.108*** [0.057]	Awiki_t−1		0.103 [0.061]			0.011 [0.066]
ARET				−1.176 [2.622]		−0.640 [2.697]	ARET_t−1			−7.141** [2.252]		−8.388*** [2.607]
Volatility					107.797*** [15.591]	180.085*** [21.708]	Volatility_t−1				−17.373* [17.065]	−147.160** [27.538]
Constant	−0.022***[0.055]	−0.009***[0.089]	0.016***[0.069]	−0.052***[0.076]	−1.349***[0.191]	−2.460[0.298]	Constant	−0.007*** [0.062]	0.028***[0.070]	−0.145***[0.056]	0.192[0.229]	0.541[0.399]
R-Squared	0.111	0.159	0.162	0.144	0.267	0.422	R-Squared	0.165	0.168	0.175	0.114	0.216
Adjust. R²	0.108	0.151	0.154	0.137	0.262	0.407	Adjust. R²	0.157	0.160	0.166	0.108	0.197
Durbin-W	1.994	1.980	1.972	1.992	1.772	1.827	Durbin-W	1.981	1.985	1.982	1.995	1.992

Note(s): 1. The symbols ***, ** and * indicates significance at the 1%, 5%, and 10% levels, respectively, 2. White heteroscedasticity-consistent (Eicker-White) standard errors and covariances are applied to all of the models (1)–(11)

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