Forecasting Stock Market Volatility: A Combination Approach

Table 1

Summary statistics.

	Mean	Median	S. E.	Max.	Min.	Skew.	Kurt.
S&P	0.003	0.011	0.013	19.876	0.001	0.008	0.008
BRT	18.235	0.005	0.017	0.020	7.555	0.0001	0.0007
WTI	0.001	10.420	0.057	0.237	0.255	59.890	6.899
VIX	8.218	7.108	1.682	66.802	97.190	75.067	7.374

Note. This table reports the basic statistics of the major regression variables, which is shown in the first column of the table. S&P, BRT, and WTI denote the realized volatility of the S&P500 stock index, Brent oil price, and WTI oil price, respectively. VIX denotes the implied volatility for the S&P500 stock index. The mean value, standard deviation, median, coefficients of kurtosis and skewness, range, and the number of observations are shown in this table.