Figure 1
In all six graphs, the horizontal axis is labeled “Quantiles” and has markings ranging from 0 to 1 in increments of 0.2 units. Graph 1: The graph is titled “Elasticity of T V I X”. The vertical axis has markings ranging from 0.08 to 0.1 in increments of 0.005 units. The graph shows a line that starts from (0.1, 0.096), moves downward passing through (0.2, 0.09), (0.4, 0.085), (0.6, 0.084), rises again to (0.8, 0.087), and terminates at (0.9, 0.084). Graph 2: The graph is titled “Elasticity of U V X Y”. The vertical axis has markings ranging from 0.24 to 0.28 in increments of 0.01 units. The graph shows a line that starts from (0.1, 0.263), rises upward to (0.2, 0.269), slopes down passing through (0.3, 0.258), (0.6, 0.245), rises again to (0.8, 0.255), and terminates at (0.9, 0.244). Graph 3: The graph is titled “Elasticity of V X X”. The vertical axis has markings ranging from 0.52 to 0.6 in increments of 0.02 units. The graph shows a line that starts from (0.1, 0.566), rises upward to (0.2, 0.589), slopes downward passing through (0.4, 0.58), (0.7, 0.56), and terminates at (0.9, 0.524). Graph 4: The graph is titled “Elasticity of V I X Y”. The vertical axis has markings ranging from 0.26 to 0.3 in increments of 0.01 units. The graph shows a line that starts from (0.1, 0.283), slopes down to (0.2, 0.275), rises upward to (0.4, 0.289), slopes down again passing through (0.6, 0.286), (0.7, 0.273), (0.8, 0.266), and terminates at (0.9, 0.267). Graph 5: The graph is titled “Elasticity of X I V”. The vertical axis has markings ranging from negative 0.3 to 0 in increments of 0.1 units. The graph shows a line that starts from (0.1, negative 0.18), slopes downward, passing through (0.3, negative 0.21), (0.5, negative 0.23), (0.7, negative 0.24), and terminates at (0.9, negative 0.25). Graph 6: The graph is titled “Elasticity of S V X Y”. The vertical axis has markings ranging from negative 0.25 to 0 in increments of 0.05 units. The graph shows a line that starts from (0.1, negative 0.14), slopes downward passing through (0.2, negative 0.16), (0.39, negative 0.19), (0.6, negative 0.2), (0.8, negative 0.19), and terminates at (0.9, negative 0.18). Note: All numerical data values are approximated.Full sample results: elasticities at different quantiles, dependent variable: ln(SPVXSTER). Note(s): Figure shows the elasticities of a decile regression fitted with the dependent variable being ln(SPVXSTR) and the independent variables natural logarithm of 15-min ETP returns. The regression is fitted over the entire period. Source(s): Authors’ own work