spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Implied versus realized correlation as a predictor of market stress.}4\label{tab:rq3}5\begin{threeparttable}6\footnotesize7\begin{tabular}{@{}lrrrrrr@{}}8\toprule9& \multicolumn{2}{c}{5-day} & \multicolumn{2}{c}{10-day} & \multicolumn{2}{c}{20-day} \\10\cmidrule(lr){2-3}\cmidrule(lr){4-5}\cmidrule(lr){6-7}11Predictor & $b$ & $(t)$ & $b$ & $(t)$ & $b$ & $(t)$ \\12\midrule13\multicolumn{7}{@{}l}{\textit{Panel A: $\hat\rho_{impl}/\hat\rho_{real}$}} \\14Corr.\ ratio & 5.22\sym{***} & (3.27) & 7.39\sym{***} & (4.13) & 4.68\sym{**} & (2.33) \\15VIX level & 23.81\sym{**} & (2.57) & 31.69\sym{***} & (2.71) & 44.17\sym{***} & (3.27) \\16SPX ATM IV & $-$2.57 & ($-$0.27) & $-$15.23 & ($-$1.29) & $-$34.08\sym{**} & ($-$2.52) \\17$R^2$ & \multicolumn{2}{c}{0.222} & \multicolumn{2}{c}{0.151} & \multicolumn{2}{c}{0.088} \\18\addlinespace19\multicolumn{7}{@{}l}{\textit{Panel B: $\hat\rho_{impl}-\hat\rho_{real}$}} \\20Corr.\ divergence & 3.37\sym{**} & (2.14) & 4.07\sym{*} & (1.89) & 3.73 & (1.38) \\21VIX level & 26.08\sym{***} & (2.78) & 35.83\sym{***} & (3.01) & 45.27\sym{***} & (3.33) \\22SPX ATM IV & $-$4.17 & ($-$0.43) & $-$18.44 & ($-$1.53) & $-$34.56\sym{**} & ($-$2.54) \\23$R^2$ & \multicolumn{2}{c}{0.215} & \multicolumn{2}{c}{0.136} & \multicolumn{2}{c}{0.085} \\24\addlinespace25\multicolumn{7}{@{}l}{\textit{Panel C: implied and realized correlation entered separately}} \\26$\hat\rho_{impl}$ & 10.64\sym{***} & (2.78) & 9.26\sym{**} & (2.02) & 5.44 & (1.16) \\27$\hat\rho_{real}$ & $-$3.70\sym{*} & ($-$1.71) & $-$4.84\sym{*} & ($-$1.66) & $-$4.76 & ($-$1.30) \\28VIX level & 29.70\sym{***} & (3.21) & 38.49\sym{***} & (3.29) & 46.25\sym{***} & (3.46) \\29SPX ATM IV & $-$14.92 & ($-$1.41) & $-$26.33\sym{**} & ($-$2.06) & $-$37.48\sym{***} & ($-$2.69) \\30$R^2$ & \multicolumn{2}{c}{0.222} & \multicolumn{2}{c}{0.140} & \multicolumn{2}{c}{0.085} \\31\addlinespace32$N$ (days) & \multicolumn{2}{c}{2{,}486} & \multicolumn{2}{c}{2{,}481} & \multicolumn{2}{c}{2{,}471} \\33Base rate & \multicolumn{2}{c}{0.356} & \multicolumn{2}{c}{0.493} & \multicolumn{2}{c}{0.693} \\34\bottomrule35\end{tabular}36\begin{tablenotes}[flushleft]\footnotesize37\item \textit{Notes.} Linear probability models of the indicator that a stress event (VIX $>25$ or a 5-day VIX increase above 20\%) occurs within the next $h$ trading days, on standardized predictors observed at $t$; February 2016--December 2025 (the period over which the realized-correlation series is available). Coefficients are in percentage points of probability per standard deviation; $t$-statistics in parentheses use Newey--West standard errors with $h$ lags because the forward indicator overlaps. The base rate is the unconditional frequency of the indicator. \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.38\end{tablenotes}39\end{threeparttable}40\end{table}41