Figure 2
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 3:45 to 4:15 p m”. The vertical axis has markings ranging from 0.01 to 0.06 in increments of 0.01 units. The graph shows a concave up curve that starts from (0.1, 0.049), slopes down to (0.5, 0.22), rises upward, and terminates at (0.9, 0.049). Graph 2: The graph is titled “Elasticity of U V X Y 3:45 to 4:15 p m”. The vertical axis has markings ranging from 0 to 0.2 in increments of 0.05 units. The graph shows a curve that starts from (0.1, 0.16), rises upward to (0.2, 0.17), slopes down passing through (0.3, 0.14), (0.5, 0.05), rises upward to (0.8, 0.17), and terminates at (0.9, 0.16). Graph 3: The graph is titled “Elasticity of V X X 3:45 to 4:15 p m”. The vertical axis has markings ranging from 0 to 0.3 in increments of 0.05 units. The graph shows a concave up curve that starts from (0.1, 0.26), slopes down to (0.4, 0.09), (0.5, 0.09), (0.6, 0.1), rises upward to (0.8, 0.21), and terminates at (0.9, 0.26). Graph 4: The graph is titled “Elasticity of V I X Y 3:45 to 4:15 p m”. The vertical axis has markings ranging from 0 to 0.2 in increments of 0.05 units. The graph shows a curve that starts from (0.1, 0.17), moves to the right passing through coordinates (0.2, 0.17), (0.3, 0.16), (0.4, 0.15), (0.5, 0.16), (0.6, 0.15), (0.7, 0.16), (0.8, 0.18), and terminates at (0.9, 0.19). Graph 5: The graph is titled “Elasticity of X I V 3:45 to 4:15 p m”. The vertical axis has markings ranging from negative 0.33 to negative 0.3 in increments of 0.005 units. The graph shows a curve that starts from (0.1, negative 0.321), rises upward passing through (0.2, negative 0.32), (0.3, negative 0.31), slopes down to (0.4, negative 0.327), rises upward again passing through coordinates (0.6, negative 0.325), (0.7, negative 0.306), and terminates at (0.9, negative 0.315). Graph 6: The graph is titled “Elasticity of S V X Y 3:45 to 4:15 p m”. The vertical axis has markings ranging from negative 0.3 to 0 in increments of 0.05 units. The graph shows a concave down curve that starts from (0.1, negative 0.24), rises upward passing through (0.3, negative 0.2), (0.5, negative 0.15), slopes downward to (0.7, negative 0.2), and terminates at (0.9, negative 0.23). Note: All numerical data values are approximated.Closing sample results: elasticities at different quantiles, dependent variable: 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 closing sample. Source(s): Authors’ own work