The Volatility Forecasting Power of Financial Network Analysis
Table 4
The forecasting realized volatility of European 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)
(18)
(19)
Variable
FTSE
CAC
DAX
IBEX
FTSEMIB
AEX
OMX
RTS
SMI
C
−1.479
−1.482
−1.392
−1.392
−1.277
−1.278
−1.342
−1.342
−1.127
−1.129
−1.247
−1.249
−1.234
−1.235
−1.754
−1.758
−2.023
−2.029
0.323
0.323
0.278
0.279
0.312
0.312
0.275
0.277
0.237
0.235
0.284
0.284
0.326
0.325
0.343
0.343
0.368
0.369
VMSTL (−1)
−0.566
0.974
−0.721
0.700
−0.838
−0.783
0.822
−0.158
−0.857
0.365
0.397
0.367
0.346
0.332
0.445
0.354
0.389
0.515
VPMFGL (−1)
−0.310
−0.691
−0.519
−0.516
0.681
−0.460
−0.568
−0.051
−0.547
0.355
0.386
0.375
0.332
0.318
0.428
0.335
0.367
0.462
AR (−1)
0.474
0.508
0.436
0.474
0.508
0.534
0.505
0.527
0.476
0.496
0.458
0.502
0.407
0.440
0.504
0.513
0.394
0.429
0.092
0.091
0.097
0.096
0.081
0.083
0.065
0.067
0.082
0.083
0.108
0.105
0.075
0.074
0.092
0.092
0.112
0.109
AR (−2)
0.164
0.130
0.288
0.246
0.205
0.177
0.210
0.183
0.298
0.277
0.283
0.235
0.320
0.284
0.139
0.133
0.224
0.188
0.067
0.067
0.092
0.088
0.083
0.084
0.072
0.070
0.091
0.090
0.088
0.084
0.073
0.068
0.074
0.074
0.083
0.080
AR (−3)
0.134
0.134
0.045
0.049
0.072
0.075
0.060
0.064
0.034
0.035
0.058
0.061
0.068
0.072
0.022
0.020
0.069
0.069
0.058
0.058
0.056
0.055
0.061
0.060
0.052
0.052
0.059
0.059
0.051
0.050
0.056
0.056
0.076
0.076
0.061
0.060
Adjusted R-squared
0.494
0.491
0.523
0.518
0.547
0.544
0.525
0.522
0.586
0.584
0.564
0.560
0.545
0.541
0.362
0.361
0.379
0.374
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
0.000
0.000
Note: AR stands for lag monthly volatility realized, and 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.
