Table 5 Predictability of ΔIMVOL1 for...

Table 5

Predictability of ΔIMVOL1 for change in CDS spread

Variable	Model1	Model2	Model3	Model4	Model5	Model6
Panel A: full sample period
Intercept	0.000	−0.004	0.000	0.001	−0.005*	−0.005**
Intercept	(−0.46)	(−1.59)	(−0.53)	(1.06)	(−1.86)	(−2.02)
ΔIMVOL1	0.013**	0.008*	0.015**	0.012***	0.007*	0.007
ΔIMVOL1	(2.54)	(1.70)	(2.55)	(2.70)	(1.94)	(1.29)
IMVOL1		0.014			0.015	0.017*
IMVOL1		(1.53)			(1.67)	(1.92)
FSR			−0.003
FSR			(−1.53)
CDSR				0.005**		0.007***
CDSR				(2.34)		(3.15)
CDSLiq					0.007
CDSLiq					(1.03)
adj. R²	0.025	0.07	−0.001	0.262	0.331	0.317
Panel B: sample period excluding the global financial crisis
Intercept	0.000	−0.004	0.000	0.000	−0.004	−0.004
Intercept	(−0.04)	(−1.11)	(0.15)	(0.38)	(−1.13)	(−1.34)
ΔIMVOL1	0.009***	0.012***	0.011**	0.008***	0.009**	0.012***
ΔIMVOL1	(2.79)	(3.57)	(2.45)	(2.96)	(2.31)	(4.11)
IMVOL1		0.012			0.012	0.014
IMVOL1		(1.07)			(1.08)	(1.26)
FSR			−0.002
FSR			(−0.90)
CDSR				0.006**		0.007**
CDSR				(2.38)		(2.61)
CDSLiq					0.004
CDSLiq					(0.57)
adj. R²	0.031	0.023	0.041	0.276	0.306	0.314

Variable	Model1	Model2	Model3	Model4	Model5	Model6
Panel A: full sample period
Intercept	0.000	−0.004	0.000	0.001	−0.005*	−0.005**
Intercept	(−0.46)	(−1.59)	(−0.53)	(1.06)	(−1.86)	(−2.02)
ΔIMVOL1	0.013**	0.008*	0.015**	0.012***	0.007*	0.007
ΔIMVOL1	(2.54)	(1.70)	(2.55)	(2.70)	(1.94)	(1.29)
IMVOL1		0.014			0.015	0.017*
IMVOL1		(1.53)			(1.67)	(1.92)
FSR			−0.003
FSR			(−1.53)
CDSR				0.005**		0.007***
CDSR				(2.34)		(3.15)
CDSLiq					0.007
CDSLiq					(1.03)
adj. R²	0.025	0.07	−0.001	0.262	0.331	0.317
Panel B: sample period excluding the global financial crisis
Intercept	0.000	−0.004	0.000	0.000	−0.004	−0.004
Intercept	(−0.04)	(−1.11)	(0.15)	(0.38)	(−1.13)	(−1.34)
ΔIMVOL1	0.009***	0.012***	0.011**	0.008***	0.009**	0.012***
ΔIMVOL1	(2.79)	(3.57)	(2.45)	(2.96)	(2.31)	(4.11)
IMVOL1		0.012			0.012	0.014
IMVOL1		(1.07)			(1.08)	(1.26)
FSR			−0.002
FSR			(−0.90)
CDSR				0.006**		0.007**
CDSR				(2.38)		(2.61)
CDSLiq					0.004
CDSLiq					(0.57)
adj. R²	0.031	0.023	0.041	0.276	0.306	0.314

Source(s): The authors