Table 4 Regression results from...

Table 4

Regression results from descriptive and predictive models of Volatility, regressed 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 model

Dependent variable: Volatility
Explanatory models						Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
Volatility_t−1	0.509*** [0.049]	0.204*** [0.067]	0.203*** [0.068]	0.417*** [0.060]	0.417*** [0.045]	0.135*** [0.053]	Volatility_t−1	0.202*** [0.068]	0.202*** [0.067]	0.425*** [0.059]	0.545*** [0.056]	0.081* [0.083]
AGSV		−0.00008 [0.000]				−0.0001 [0.000]	AGSV_t−1	0.0001 [0.000]				0.0001 [0.000]
Awiki			−0.00007 [0.000]			−0.0004** [0.000]	Awiki_t−1		−0.00005 [0.000]			−0.0002 [0.000]
ARET				0.007 [0.009]		−0.004 [0.008]	ARET_t−1			0.009** [0.009]		−0.008 [0.009]
ARET				0.007 [0.009]		−0.004 [0.008]				0.009** [0.009]		−0.008 [0.009]
ATVOL					0.001*** [0.000]	0.001*** [0.000]	ATVOL_t−1				−0.0003 [0.000]	0.0006** [0.000]
Constant	0.006*** [0.000]	0.011*** [0.000]	0.011 [0.000]	0.007 [0.000]	0.006*** [0.00]	0.011 [0.000]	Constant	0.011*** [0.000]	0.011*** [0.00]	0.007*** [0.000]	0.005*** [0.00]	0.012*** [0.001]
R-Squared	0.256	0.042	0.042	0.186	0.413	0.372	R-Squared	0.044	0.042	0.192	0.261	0.073
Adjust. R²	0.253	0.032	0.033	0.179	0.409	0.356	Adjust. R²	0.034	0.032	0.185	0.256	0.051
Durbin-W	2.106	1.927	1.930	2.057	1.927	1.866	Durbin-W	1.932	1.934	2.057	2.114	1.906

Dependent variable: Volatility
Explanatory models						Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
Volatility_t−1	0.509***[0.049]	0.204***[0.067]	0.203***[0.068]	0.417***[0.060]	0.417***[0.045]	0.135***[0.053]	Volatility_t−1	0.202*** [0.068]	0.202***[0.067]	0.425***[0.059]	0.545***[0.056]	0.081*[0.083]
AGSV		−0.00008[0.000]				−0.0001[0.000]	AGSV_t−1	0.0001[0.000]				0.0001[0.000]
Awiki			−0.00007 [0.000]			−0.0004** [0.000]	Awiki_t−1		−0.00005 [0.000]			−0.0002 [0.000]
ARET				0.007[0.009]		−0.004[0.008]	ARET_t−1			0.009**[0.009]		−0.008[0.009]
ARET				0.007[0.009]		−0.004[0.008]				0.009**[0.009]		−0.008[0.009]
ATVOL					0.001*** [0.000]	0.001*** [0.000]	ATVOL_t−1				−0.0003 [0.000]	0.0006** [0.000]
Constant	0.006*** [0.000]	0.011*** [0.000]	0.011 [0.000]	0.007 [0.000]	0.006*** [0.00]	0.011 [0.000]	Constant	0.011*** [0.000]	0.011*** [0.00]	0.007*** [0.000]	0.005*** [0.00]	0.012*** [0.001]
R-Squared	0.256	0.042	0.042	0.186	0.413	0.372	R-Squared	0.044	0.042	0.192	0.261	0.073
Adjust. R²	0.253	0.032	0.033	0.179	0.409	0.356	Adjust. R²	0.034	0.032	0.185	0.256	0.051
Durbin-W	2.106	1.927	1.930	2.057	1.927	1.866	Durbin-W	1.932	1.934	2.057	2.114	1.906

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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