The Volatility Forecasting Power of Financial Network Analysis
Table 3
The forecasting realized volatility of North and Latin America stock market indices using in-sample analysis with monthly data and core econometric specifications shown in Table 1.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
Variable
SPX
CCMP
SPTSX
MEXBOL
IBOV
IPSA
MERVAL
IGBVL
C
−1.438
−1.444
−1.346
−1.351
−1.392
−1.393
−1.783
−1.784
−1.866
−1.863
−2.952
−2.947
−1.664
−1.665
−1.540
−1.541
0.470
0.471
0.414
0.414
0.455
0.454
0.398
0.399
0.401
0.400
0.492
0.492
0.309
0.308
0.356
0.357
VMSTL (−1)
−0.271
−0.247
−0.323
0.094
0.278
−0.328
0.350
0.017
0.371
0.300
0.402
0.362
0.327
0.374
0.395
0.436
VPMFGL (−1)
0.145
−0.041
−0.212
0.113
0.339
−0.322
0.349
−0.017
0.340
0.294
0.367
0.340
0.308
0.344
0.376
0.394
AR (−1)
0.492
0.547
0.452
0.477
0.489
0.502
0.583
0.585
0.442
0.450
0.467
0.468
0.498
0.497
0.501
0.500
0.104
0.102
0.096
0.099
0.081
0.081
0.075
0.074
0.083
0.085
0.065
0.064
0.069
0.067
0.065
0.065
AR (−2)
0.167
0.113
0.172
0.146
0.264
0.253
0.005
0.003
0.152
0.144
0.046
0.044
0.041
0.042
0.191
0.193
0.089
0.090
0.088
0.092
0.086
0.086
0.085
0.082
0.071
0.072
0.086
0.084
0.099
0.099
0.085
0.085
AR (−3)
0.120
0.119
0.157
0.157
0.042
0.040
0.129
0.129
0.061
0.061
0.047
0.048
0.133
0.132
0.061
0.061
0.072
0.071
0.077
0.077
0.060
0.060
0.069
0.069
0.055
0.055
0.075
0.075
0.086
0.086
0.088
0.089
R-squared
0.504
0.504
0.500
0.499
0.539
0.538
0.429
0.429
0.327
0.329
0.276
0.276
0.349
0.349
0.457
0.457
Prob (Wald F-statistic)
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Note: AR stands for lag monthly volatility realized. AR (−1) and AR (−2) represent the first and second lags of volatility realized. SPX, CCMP, SPTX, MEXBOL, and IGBVL Lmex denote one-month volatility realized returns of the respective indices. The estimations from the first equation in Table 1 are presented here. ,, and . Source: authors’ elaboration.
