spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
Python 66.5%
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Makefile 0.8%
1label,n_obs,r2,adj_r2,n_significant,subperiod,horizon,model2Pre-GFC Recovery (2010-2012)|1D,8565,0.004552905202339419,0.0033891840253489347,2,Pre-GFC Recovery (2010-2012),1D,3Pre-GFC Recovery (2010-2012)|5D,8565,0.030907361593650817,0.02977444992845757,7,Pre-GFC Recovery (2010-2012),5D,4Bull Market (2013-2016)|1D,25950,0.0045850351632718,0.004201282911898585,3,Bull Market (2013-2016),1D,5Bull Market (2013-2016)|5D,25950,0.07544053819778151,0.0750841021509785,10,Bull Market (2013-2016),5D,6Low Vol Era (2017-2018)|1D,16271,0.0015128231993405405,0.0008987474448506338,0,Low Vol Era (2017-2018),1D,7Low Vol Era (2017-2018)|5D,16271,0.13619124336696764,0.13565999566916143,9,Low Vol Era (2017-2018),5D,8Pre-COVID (2019)|1D,8374,0.003227085308238342,0.0020352009190337528,0,Pre-COVID (2019),1D,9Pre-COVID (2019)|5D,8374,0.07974443561365019,0.07864404632226385,6,Pre-COVID (2019),5D,10COVID Period (2020)|1D,8892,0.01785829262057248,0.016752401721597754,5,COVID Period (2020),1D,11COVID Period (2020)|5D,8892,0.14443680510427104,0.14347344152483654,9,COVID Period (2020),5D,12Post-COVID Bull (2021)|1D,9734,0.007536697510129753,0.006515959772302016,3,Post-COVID Bull (2021),1D,13Post-COVID Bull (2021)|5D,9734,0.035705411752916194,0.0347136452320409,8,Post-COVID Bull (2021),5D,14Rate Hiking (2022)|1D,10068,0.010037764943731542,0.009053413511837083,7,Rate Hiking (2022),1D,15Rate Hiking (2022)|5D,10068,0.0842917499691005,0.08338123167335532,10,Rate Hiking (2022),5D,16Recovery (2023-2024)|1D,20396,0.005715442722233122,0.005227689689474846,4,Recovery (2023-2024),1D,17Recovery (2023-2024)|5D,20396,0.051809404910611034,0.051344263583611105,8,Recovery (2023-2024),5D,18Recent (2025)|1D,10831,0.007011355136322672,0.006093620714082704,5,Recent (2025),1D,19Recent (2025)|5D,10831,0.03748861736517284,0.03659905046809819,7,Recent (2025),5D,20Pre-GFC Recovery (2010-2012)|HAR-RV,46284,0.3437582713844408,0.34371573194654437,3,Pre-GFC Recovery (2010-2012),,HAR-RV21Pre-GFC Recovery (2010-2012)|HAR+IV,8566,0.39209536492927854,0.39152703057371396,5,Pre-GFC Recovery (2010-2012),,HAR+IV22Bull Market (2013-2016)|HAR-RV,64469,0.3416382129845429,0.34160757488074944,3,Bull Market (2013-2016),,HAR-RV23Bull Market (2013-2016)|HAR+IV,25950,0.33604997367760214,0.3358452167210245,5,Bull Market (2013-2016),,HAR+IV24Low Vol Era (2017-2018)|HAR-RV,33220,0.3094019493581207,0.3093395759792694,3,Low Vol Era (2017-2018),,HAR-RV25Low Vol Era (2017-2018)|HAR+IV,16273,0.4191842780751921,0.41889858416376824,6,Low Vol Era (2017-2018),,HAR+IV26Pre-COVID (2019)|HAR-RV,16882,0.2795077235062906,0.279379658757536,3,Pre-COVID (2019),,HAR-RV27Pre-COVID (2019)|HAR+IV,8376,0.3632548270691244,0.3626460113187423,4,Pre-COVID (2019),,HAR+IV28COVID Period (2020)|HAR-RV,17125,0.6038433566127657,0.6037739406948777,3,COVID Period (2020),,HAR-RV29COVID Period (2020)|HAR+IV,8892,0.7209268159687201,0.7206754835953946,8,COVID Period (2020),,HAR+IV30Post-COVID Bull (2021)|HAR-RV,17254,0.37617226183833463,0.3760637700577847,3,Post-COVID Bull (2021),,HAR-RV31Post-COVID Bull (2021)|HAR+IV,9737,0.4396241154785341,0.4391632800471842,5,Post-COVID Bull (2021),,HAR+IV32Rate Hiking (2022)|HAR-RV,17229,0.3865626087872044,0.3864557691835099,3,Rate Hiking (2022),,HAR-RV33Rate Hiking (2022)|HAR+IV,10070,0.4708060118276648,0.47038522344625355,6,Rate Hiking (2022),,HAR+IV34Recovery (2023-2024)|HAR-RV,34632,0.29036963810700855,0.2903081592146186,3,Recovery (2023-2024),,HAR-RV35Recovery (2023-2024)|HAR+IV,20398,0.3901717390276379,0.38993246166789597,7,Recovery (2023-2024),,HAR+IV36Recent (2025)|HAR-RV,17250,0.3208273099604191,0.3207091655750475,3,Recent (2025),,HAR-RV37Recent (2025)|HAR+IV,10831,0.4019013811251535,0.40145924575729186,5,Recent (2025),,HAR+IV38