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Regression for Market Volatility Index
Dependent variable (+/- SE):
Market Volatility Index
Constant223.371 (+/- 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 growth4.874 (+/- 0.429)
p = 0.00000***
Unemployment Rate10.157 (+/- 1.075)
p = 0.00001***
CPI Inflation Rate-2.597 (+/- 0.517)
p = 0.0004***
30-year Mortgate Rate73.246 (+/- 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 Index0.627 (+/- 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 Yield951.781 (+/- 52.489)
p = 0.000***
1-month Treasury Yield205.516 (+/- 23.945)
p = 0.00001***
LN_1-month Treasury Yield-20.933 (+/- 2.352)
p = 0.00001***
7-year Treasury Yield493.287 (+/- 38.766)
p = 0.00000***
LN_7-year Treasury Yield-880.440 (+/- 62.111)
p = 0.00000***
LN_6-month Treasury Yield31.522 (+/- 6.783)
p = 0.001***
3-year Treasury Yield-184.110 (+/- 35.013)
p = 0.0003***
LN_3-year Treasury Yield137.849 (+/- 22.563)
p = 0.0001***
1-year Treasury Yield127.777 (+/- 10.892)
p = 0.00000***
LN_1-year Treasury Yield-71.560 (+/- 8.709)
p = 0.00001***
3-year Treasury Yield_231.243 (+/- 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_257.212 (+/- 3.892)
p = 0.000***
Observations40
R20.997
Adjusted R20.989
Residual Std. Error1.392 (df = 11)
F Statistic128.979*** (df = 28; 11)
Note:*p<0.1; **p<0.05; ***p<0.01