Table 1.
Stock country indices to estimate MSTL’s region.
Fig 1.
VIX levels and time evolution.
Note: This figure depicts the time series evolution of the VIX between the years 2002–2019.
Table 2.
Summary statistics of monthly implied volatility indices.
Fig 2.
Note: This figure depicts the autocorrelation graph for VIX levels with lags from 1 to 20.
Table 3.
Forecasting models.
Table 4.
Forecast variation in MSTL and PMFGL with volatility indices.
Table 5.
Forecast variation in regional MSTL with volatility indices.
Table 6.
Forecast variation in MSTL with volatilities indexes.
Table 7.
Forecast variation in MSTL with volatilities principal component.
Table 8.
VAR Results for VIX and MSTLs models.
Fig 3.
Note: This figure depicts the impulse response exercise from a shock in VIX over the MSTLs of North-America (NAM), Europe (EUR), Asia-Oceania (ASIOC), All-shares (AS), Latin America (LAT), and America (AME, North and Latin America). This figure depicts the impulse response exercise from a shock in VSTOXX over the MSTLs of America (AME, North and Latin America), All-shares (AS), Asia-Oceania (ASIOC), Europe (EUR), Latin America (LAT), and North America (NAM). This figure depicts the impulse response exercise from a shock in VXJ over the MSTLs of America (AME, North and Latin America), All-shares (AS), Asia-Oceania (ASIOC), Europe (EUR), Latin America (LAT), and North America (North America).
Table 9.
Forecast error variance decomposition results for the period from 2001 to 2020.