ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES



Tables

Table 1. Distributional moments and unit-root test results

Mean

Std.Dev. Skewness

Kurtosis

JB

ADF PP

Stock Returns

S&P 500

0.0310

0.0102

-0.1031

6.8986

2485.06

-62.665c -62.877c

Nikkei 225

-0.0312

0.0148

0.1961

6.3530

1858.13

-46.979c -63.862c

Implied Volatility

S&P 500

0.1988

0.0635

0.9063

3.7215

620.70

-3.863b -5.379a

Nikkei 225

0.2476

0.0647

0.6528

4.1171

481.53

-6.143b -6.907 b

Changes in

Implied Volatility

S&P 500

-0.0010

0.0122

0.5690

9.2627

6605.84

-22.530c -73.542c

Nikkei 225

0.0026

0.0165

0.6450

39.4066 216373.60

-42.551c -84.201c

Notes: The sample period extends from January 2, 1990 to December 31, 2004. JB refers
to Jarque-Bera statistics for normality tests. ADF refers to Augmented
Dickey-Fuller tests using Schwarz information criterion. PP refers to
Phillips-Perron tests with Newey-West bandwidth using Bartlett kernel. The
superscripts a, b and c refer to unit root tests with trend and intercept, with intercept
only, with neither trend nor intercept, respectively. The means of return series and
volatility first differences are scaled by 102.

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