spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Predictability by VIX regime.}4\label{tab:vix_regime}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrrr@{}}8\toprule9VIX regime & \% of panel & $N$ & 1-day $R^2$ (\%) & 5-day $R^2$ (\%) & HAR $+$ IV $R^2$ \\10\midrule11Very low ($<$15) & 37.6 & 43{,}913 & 0.07 & 0.11 & 0.346 \\12Low (15--20) & 34.0 & 40{,}018 & 0.06 & 0.19 & 0.298 \\13Medium (20--25) & 15.4 & 19{,}029 & 0.21 & 0.55 & 0.353 \\14High (25--35) & 10.6 & 13{,}069 & 1.01 & 1.27 & 0.373 \\15Crisis ($>$35) & 2.4 & 2{,}529 & 2.32 & 2.99 & 0.623 \\16\bottomrule17\end{tabular}18\begin{tablenotes}[flushleft]\footnotesize19\item \textit{Notes.} Observations are assigned to regimes by the VIX close on day $t$. Return regressions as in Table~\ref{tab:rq1} (full panel); the last column is the in-sample $R^2$ of the HAR-RV $+$ IV surface model for $RV_{t+1}$ within the regime.20\end{tablenotes}21\end{threeparttable}22\end{table}23