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1======================================================================2ROBUSTNESS CHECKS3======================================================================45--- A. NEWEY-WEST HAC STANDARD ERRORS (lags 5, 22) + HC1 ---67 1-Day: R²=0.001027, N=119,0818 Significant (NW): iv_atm_30d, iv_skew_25d, implied_skewness, rv_daily9 const : β= 0.000418 t_NW= 9.676 **10 iv_atm_30d : β= 0.000280 t_NW= 2.617 **11 iv_term_slope : β= 0.000081 t_NW= 1.236 12 iv_skew_25d : β= 0.000559 t_NW= 5.078 **13 implied_skewness : β=-0.000274 t_NW= -2.717 **14 implied_kurtosis_proxy : β= 0.000032 t_NW= 0.488 15 pc_volume_ratio : β=-0.000001 t_NW= -0.031 16 pc_oi_ratio : β=-0.000064 t_NW= -1.183 17 net_gamma_exposure : β= 0.000005 t_NW= 0.114 18 rv_daily : β=-0.000321 t_NW= -2.794 **19 rv_w : β=-0.000047 t_NW= -0.414 2021 5-Day: R²=0.003115, N=119,08122 Significant (NW): iv_skew_25d, implied_skewness, pc_volume_ratio, pc_oi_ratio23 const : β= 0.001894 t_NW= 10.635 **24 iv_atm_30d : β= 0.000502 t_NW= 1.171 25 iv_term_slope : β=-0.000030 t_NW= -0.112 26 iv_skew_25d : β= 0.001914 t_NW= 4.783 **27 implied_skewness : β=-0.000823 t_NW= -2.460 *28 implied_kurtosis_proxy : β= 0.000305 t_NW= 1.366 29 pc_volume_ratio : β= 0.000304 t_NW= 2.204 *30 pc_oi_ratio : β=-0.000454 t_NW= -2.191 *31 net_gamma_exposure : β=-0.000121 t_NW= -0.689 32 rv_daily : β=-0.000069 t_NW= -0.275 33 rv_w : β= 0.000102 t_NW= 0.287 3435--- B. DOUBLE-CLUSTERED SE (ticker + date) ---3637 1-Day: R²=0.001027, N=119,08138 Significant (DC): 39 const : β= 0.000418 t_DC= 2.187 *40 iv_atm_30d : β= 0.000280 t_DC= 0.915 41 iv_term_slope : β= 0.000081 t_DC= 0.434 42 iv_skew_25d : β= 0.000559 t_DC= 1.800 43 implied_skewness : β=-0.000274 t_DC= -1.273 44 implied_kurtosis_proxy : β= 0.000032 t_DC= 0.198 45 pc_volume_ratio : β=-0.000001 t_DC= -0.018 46 pc_oi_ratio : β=-0.000064 t_DC= -0.843 47 net_gamma_exposure : β= 0.000005 t_DC= 0.115 48 rv_daily : β=-0.000321 t_DC= -0.973 49 rv_w : β=-0.000047 t_DC= -0.118 5051 5-Day: R²=0.003115, N=119,08152 Significant (DC): iv_skew_25d53 const : β= 0.001894 t_DC= 4.427 **54 iv_atm_30d : β= 0.000502 t_DC= 0.797 55 iv_term_slope : β=-0.000030 t_DC= -0.067 56 iv_skew_25d : β= 0.001914 t_DC= 2.908 **57 implied_skewness : β=-0.000823 t_DC= -1.796 58 implied_kurtosis_proxy : β= 0.000305 t_DC= 0.968 59 pc_volume_ratio : β= 0.000304 t_DC= 1.656 60 pc_oi_ratio : β=-0.000454 t_DC= -1.932 61 net_gamma_exposure : β=-0.000121 t_DC= -0.904 62 rv_daily : β=-0.000069 t_DC= -0.117 63 rv_w : β= 0.000102 t_DC= 0.144 6465--- C. WITH CONTROL VARIABLES (volume, log_oi, spread proxy) ---6667 1-Day with controls: R²=0.002293, N=119,07668 const : β= 0.000418 t= 9.333 **69 iv_atm_30d : β= 0.000413 t= 3.627 **70 iv_term_slope : β= 0.000097 t= 1.398 71 iv_skew_25d : β= 0.000576 t= 4.795 **72 implied_skewness : β=-0.000333 t= -3.031 **73 implied_kurtosis_proxy : β= 0.000084 t= 1.190 74 pc_volume_ratio : β=-0.000015 t= -0.301 75 pc_oi_ratio : β=-0.000058 t= -0.979 76 net_gamma_exposure : β= 0.000028 t= 0.591 77 rv_daily : β=-0.000123 t= -1.000 78 rv_w : β=-0.000099 t= -0.845 79 log_volume : β= 0.000155 t= 1.375 80 log_oi : β=-0.000094 t= -0.848 81 abs_return : β=-0.000516 t= -6.356 **82 ret_lag1 : β= 0.000272 t= 3.898 **83 ret_lag5 : β=-0.000408 t= -5.764 **8485 5-Day with controls: R²=0.003981, N=119,07686 const : β= 0.001894 t= 19.029 **87 iv_atm_30d : β= 0.000637 t= 2.510 *88 iv_term_slope : β=-0.000021 t= -0.135 89 iv_skew_25d : β= 0.002045 t= 8.082 **90 implied_skewness : β=-0.000942 t= -4.085 **91 implied_kurtosis_proxy : β= 0.000374 t= 2.515 *92 pc_volume_ratio : β= 0.000248 t= 2.329 *93 pc_oi_ratio : β=-0.000487 t= -3.733 **94 net_gamma_exposure : β=-0.000101 t= -0.954 95 rv_daily : β= 0.000256 t= 1.060 96 rv_w : β= 0.000149 t= 0.609 97 log_volume : β= 0.000834 t= 3.404 **98 log_oi : β=-0.000594 t= -2.447 *99 abs_return : β=-0.001034 t= -6.096 **100 ret_lag1 : β=-0.000616 t= -4.167 **101 ret_lag5 : β= 0.000131 t= 0.878 102103--- D. QUANTILE REGRESSION (iterative reweighting) ---104105 5-Day | τ=0.1:106 const : β=-0.039261107 iv_atm_30d : β=-0.017337108 iv_term_slope : β=-0.000139109 iv_skew_25d : β= 0.000527110 implied_skewness : β=-0.000542111 implied_kurtosis_proxy : β= 0.001199112 pc_volume_ratio : β= 0.000296113 pc_oi_ratio : β=-0.000450114 net_gamma_exposure : β= 0.000519115 rv_daily : β=-0.000851116 rv_w : β= 0.000083117118 5-Day | τ=0.25:119 const : β=-0.017703120 iv_atm_30d : β=-0.008141121 iv_term_slope : β=-0.000226122 iv_skew_25d : β= 0.001429123 implied_skewness : β=-0.000157124 implied_kurtosis_proxy : β= 0.000516125 pc_volume_ratio : β= 0.000212126 pc_oi_ratio : β=-0.000443127 net_gamma_exposure : β= 0.000210128 rv_daily : β=-0.000618129 rv_w : β=-0.000781130131 5-Day | τ=0.5:132 const : β= 0.003685133 iv_atm_30d : β= 0.000363134 iv_term_slope : β=-0.000224135 iv_skew_25d : β= 0.002609136 implied_skewness : β=-0.000570137 implied_kurtosis_proxy : β= 0.000164138 pc_volume_ratio : β= 0.000273139 pc_oi_ratio : β=-0.000359140 net_gamma_exposure : β=-0.000221141 rv_daily : β=-0.000129142 rv_w : β= 0.000351143144 5-Day | τ=0.75:145 const : β= 0.023387146 iv_atm_30d : β= 0.009274147 iv_term_slope : β= 0.000030148 iv_skew_25d : β= 0.002035149 implied_skewness : β=-0.000359150 implied_kurtosis_proxy : β=-0.000324151 pc_volume_ratio : β= 0.000139152 pc_oi_ratio : β=-0.000334153 net_gamma_exposure : β=-0.000441154 rv_daily : β= 0.000574155 rv_w : β= 0.001525156157 5-Day | τ=0.9:158 const : β= 0.040126159 iv_atm_30d : β= 0.017889160 iv_term_slope : β= 0.000174161 iv_skew_25d : β= 0.000680162 implied_skewness : β=-0.000416163 implied_kurtosis_proxy : β=-0.000690164 pc_volume_ratio : β= 0.000156165 pc_oi_ratio : β=-0.000521166 net_gamma_exposure : β=-0.000360167 rv_daily : β= 0.000224168 rv_w : β= 0.000033169170--- E. EXCLUDING HIGH-VIX PERIODS (VIX < 30) ---171 1-Day (VIX<30): R²=0.000497, N=112,160172 5-Day (VIX<30): R²=0.001194, N=112,160173174--- F. TICKER-BY-TICKER R² DISTRIBUTION (5-Day returns) ---175 Distribution of R² across 69 tickers:176 Mean: 0.023460177 Median: 0.020302178 Std: 0.014293179 Min: 0.006815180 Max: 0.093917181 Q25: 0.014163182 Q75: 0.027118183184ROBUSTNESS CHECKS COMPLETE.185real 17,21186user 16,94187sys 0,49188