Forecasting Volatility with Time-Varying Coefficient Regressions

Table 1

Summary statistics of the variables.

	RVt		Jt				Vt
Mean	1.721e − 04	5.440e − 03	1.920e − 05	2.678e − 03	8.803e − 05	8.414e − 05	2.130 (%)
Std. dev.	2.760e − 04	1.046e − 02	6.013e − 05	5.035e − 03	1.508e − 04	1.445e − 04	1.499
Min	3.675e − 06	0.000	0.000	0.000	1.288e − 06	4.877e − 10	3.041e − 01 (%)
Max	3.905e − 03	9.256e − 02	2.019e − 03	7.105e − 02	2.523e − 03	1.914e − 03	1.039e01 (%)
ADF test	−6.862	−1.029e01	−1.030e01	−9.968	−7.666	−6.803	−4.398
Ljung–Box lag(22)	4.029e05	4.269e04	2.679e07	1.438e05	7.460e05	3.211e05	4.565e03

Indicates that the null hypothesis is rejected at the 1% level.