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Stock market volatility and jumps in times of uncertainty

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Figure

Table 11. Out-of-sample R 2  of forecasting regressions – forecasting S&P 500 realized volatility (REALVAR), bi-power variation (RBV) and the jump component of  realized variance (JUMP)
Figure 1. Latent macroeconomic uncertainty, the VIX index and stock market volatility
Figure 3. Average R 2  values and t-statistics per sector for the bivariate regression models on the  Realized Variance of S&P500 constituents
Figure 4. Average R 2  values and t-statistics per sector for bivariate regression models on the price  jumps of S&P500 constituents
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