The Volatility Forecasting Power of Financial Network Analysis
Table 5
The forecasting realized volatility of Asian and Oceania 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
NKY
HSI
KOSPI
TWSE
JCI
FBMKLCI
STI
ASX
NZSE
C
−2.021
−2.041
−1.182
−1.179
−1.041
−1.038
−1.256
−1.256
−2.091
−2.090
−2.077
−2.078
−1.290
−1.293
−1.228
−1.232
−2.557
−2.569
0.413
0.416
0.316
0.316
0.236
0.237
0.281
0.284
0.391
0.392
0.465
0.464
0.317
0.317
0.344
0.341
0.720
0.718
VMSTL (−1)
−0.913
0.672
0.829
1.083
−0.218
−0.476
−0.480
−0.472
0.623
0.470
0.337
0.350
0.339
0.357
0.396
0.434
0.351
0.312
VPMFGL (−1)
−0.660
0.655
0.658
0.948
−0.175
−0.264
−0.359
−0.315
−0.498
0.430
0.322
0.333
0.324
0.334
0.374
0.396
0.334
0.291
AR (−1)
0.396
0.418
0.481
0.484
0.436
0.458
0.302
0.313
0.459
0.462
0.360
0.377
0.502
0.515
0.565
0.585
0.327
0.334
0.080
0.080
0.066
0.067
0.070
0.070
0.073
0.073
0.071
0.072
0.073
0.071
0.059
0.057
0.072
0.070
0.069
0.068
AR (−2)
0.266
0.237
0.224
0.222
0.231
0.208
0.379
0.369
0.104
0.101
0.253
0.238
0.204
0.191
0.127
0.106
0.222
0.216
0.078
0.078
0.109
0.103
0.065
0.066
0.072
0.073
0.078
0.078
0.086
0.086
0.074
0.071
0.094
0.092
0.058
0.057
AR (−3)
−0.009
−0.006
0.099
0.098
0.165
0.167
0.119
0.119
0.096
0.096
0.102
0.100
0.098
0.098
0.124
0.126
0.105
0.103
0.047
0.046
0.079
0.078
0.057
0.057
0.047
0.046
0.061
0.061
0.072
0.072
0.043
0.043
0.069
0.069
0.074
0.074
Adjusted R-squared
0.357
0.349
0.567
0.568
0.592
0.589
0.527
0.523
0.322
0.322
0.383
0.379
0.549
0.548
0.576
0.574
0.316
0.311
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
Notes: 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.
