Regression for Market Volatility Index
|
| Dependent variable (+/- SE): |
| |
| Market Volatility Index |
|
Constant | 223.371 (+/- 53.453) |
| p = 0.002*** |
US Fed Reserve O-N Loan Rate | -41.296 (+/- 5.845) |
| p = 0.00003*** |
Moody's BAA Curve | -30.597 (+/- 2.792) |
| p = 0.00000*** |
Real disposable income growth | -6.218 (+/- 0.521) |
| p = 0.00000*** |
Nominal disposable income growth | 4.874 (+/- 0.429) |
| p = 0.00000*** |
Unemployment Rate | 10.157 (+/- 1.075) |
| p = 0.00001*** |
CPI Inflation Rate | -2.597 (+/- 0.517) |
| p = 0.0004*** |
30-year Mortgate Rate | 73.246 (+/- 4.923) |
| p = 0.000*** |
Prime Rate | -119.815 (+/- 14.278) |
| p = 0.00001*** |
Dow Total Stock Market Index | -0.005 (+/- 0.0004) |
| p = 0.00000*** |
Commercial Real Estate Price Index | 0.627 (+/- 0.068) |
| p = 0.00001*** |
US Avg Retail Gasoline Price ($-gal; all grades, all formulations) | -31.324 (+/- 2.639) |
| p = 0.00000*** |
LN_30-year Treasury Yield | -390.492 (+/- 34.078) |
| p = 0.00000*** |
10-year Treasury Yield | -293.159 (+/- 23.277) |
| p = 0.00000*** |
LN_10-year Treasury Yield | 951.781 (+/- 52.489) |
| p = 0.000*** |
1-month Treasury Yield | 205.516 (+/- 23.945) |
| p = 0.00001*** |
LN_1-month Treasury Yield | -20.933 (+/- 2.352) |
| p = 0.00001*** |
7-year Treasury Yield | 493.287 (+/- 38.766) |
| p = 0.00000*** |
LN_7-year Treasury Yield | -880.440 (+/- 62.111) |
| p = 0.00000*** |
LN_6-month Treasury Yield | 31.522 (+/- 6.783) |
| p = 0.001*** |
3-year Treasury Yield | -184.110 (+/- 35.013) |
| p = 0.0003*** |
LN_3-year Treasury Yield | 137.849 (+/- 22.563) |
| p = 0.0001*** |
1-year Treasury Yield | 127.777 (+/- 10.892) |
| p = 0.00000*** |
LN_1-year Treasury Yield | -71.560 (+/- 8.709) |
| p = 0.00001*** |
3-year Treasury Yield_2 | 31.243 (+/- 5.930) |
| p = 0.0003*** |
6-month Treasury Yield_2 | -37.090 (+/- 4.584) |
| p = 0.00001*** |
5-year Treasury Yield_2 | -29.699 (+/- 3.034) |
| p = 0.00000*** |
20-year Treasury Yield_2 | -60.173 (+/- 4.137) |
| p = 0.00000*** |
30-year Treasury Yield_2 | 57.212 (+/- 3.892) |
| p = 0.000*** |
|
Observations | 40 |
R2 | 0.997 |
Adjusted R2 | 0.989 |
Residual Std. Error | 1.392 (df = 11) |
F Statistic | 128.979*** (df = 28; 11) |
|
Note: | *p<0.1; **p<0.05; ***p<0.01 |