Table 8 Forecasting ability of the SESTM...

Table 8

Forecasting ability of the SESTM

	(1)	(2)	(3)	(4)
SESTM	0.028***	0.028***	0.027***	0.028***
SESTM	(5.206)	(5.232)	(5.137)	(5.166)
SESTM lag1	0.007	0.007	0.007	0.007
SESTM lag1	(1.235)	(1.284)	(1.254)	(1.306)
SESTM lag2		0.007	0.007	0.007
SESTM lag2		(1.340)	(1.292)	(1.307)
SESTM lag3			−0.005	−0.005
SESTM lag3			(−0.978)	(−0.938)
SESTM lag4				0.004
SESTM lag4				(0.743)
Constant	−0.019***	−0.023***	−0.020***	−0.022***
Constant	(−3.315)	(−3.559)	(−2.704)	(−2.762)
Observations	192	192	192	192
Adjusted R²	0.028	0.029	0.029	0.028
Year-month FE	Yes	Yes	Yes	Yes

	(1)	(2)	(3)	(4)
SESTM	0.028***	0.028***	0.027***	0.028***
SESTM	(5.206)	(5.232)	(5.137)	(5.166)
SESTM lag1	0.007	0.007	0.007	0.007
SESTM lag1	(1.235)	(1.284)	(1.254)	(1.306)
SESTM lag2		0.007	0.007	0.007
SESTM lag2		(1.340)	(1.292)	(1.307)
SESTM lag3			−0.005	−0.005
SESTM lag3			(−0.978)	(−0.938)
SESTM lag4				0.004
SESTM lag4				(0.743)
Constant	−0.019***	−0.023***	−0.020***	−0.022***
Constant	(−3.315)	(−3.559)	(−2.704)	(−2.762)
Observations	192	192	192	192
Adjusted R²	0.028	0.029	0.029	0.028
Year-month FE	Yes	Yes	Yes	Yes

Note(s): This table presents the OLS regression results examining the impact of the SESTM on the crude oil returns. Lagged SESTM measures are included to assess the forecasting power of the SESTM measure. SESTM lagk represents k lagged SESTM variable. All regressions include year-month fixed effects. t-statistics are in parentheses. *, **, and *** denote significance at the 10, 5, and 1% level, respectively

Source(s): Authors’ own work

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