Forecasting Volatility with Time-Varying Coefficient Regressions

Table 2

Estimation results for the models with constant coefficients.

	HAR-RV	LHAR-RV	HAR-RV-J	LHAR-RV-OR	AHAR-RV	HAR-RV-V	HAR-RV-ALL
β0	1.641e − 05	−2.388e − 06	1.606e − 05	5.105e − 06	1.631e − 05	−1.093e − 05	−4.851e − 05
	(3.651e − 06)	(6.002e − 06)	(3.943e − 06)	(4.741e − 06)	(3.804e − 06)	(5.804e − 06)	(8.455e − 06)
β1	3.384e − 01	2.555e − 01	3.959e − 01	3.332e − 01		3.140e − 01
	(4.743e − 02)	(4.228e − 02)	(5.632e − 02)	(4.527e − 02)		(4.765e − 02)
β2	3.132e − 01	3.328e − 01	3.027e − 01	2.715e − 01	3.249e − 01	3.033e − 01	2.759e − 01
	(8.183e − 02)	(7.666e − 02)	(8.509e − 02)	(7.775e − 02)	(7.636e − 02)	(8.363e − 02)	(7.227e − 02)
β3	2.475e − 01	2.194e − 01	2.481e − 01	2.292e − 01	2.413e − 01	1.973e − 01	1.373e − 01
	(5.007e − 02)	(4.861e − 02)	(5.272e − 02)	(5.289e − 02)	(4.927e − 02)	(5.461e − 02)	(4.606e − 02)
		6.336e − 03					5.810e − 03
		(1.272e − 03)					(1.114e − 03)
βj			4.205e − 01				−1.411e − 01
			(1.395e − 01)				(1.378e − 01)
βIOR				8.651e − 03			1.010e − 02
				(1.565e − 03)			(2.573e − 03)
					−1.105e − 01		1.895e − 01
					(7.774e − 02)		(9.104e − 02)
					7.936e − 01		2.951e − 01
					(1.293e − 01)		(1.161e − 01)
βv						1.961e − 05	2.485e − 05
						(3.835e − 06)	(4.546e − 06)
R^2	0.4915	0.5434	0.4970	0.5143	0.5213	0.4994	0.5755

The terms in parenthesis represent the Newey–West robust standard error. , , and indicate that the null hypothesis is rejected at the 1%, 5%, and 10% level, respectively.