Variable | \( {Vol}_{m,t}^c \) | \( {Vol}_{a,t}^c \) | \( {Vol}_{d,t}^c \) | \( {Vol}_t^{s\&p} \) |
|---|
\( {Vol}_{m,t}^c \) | 1 | | | |
\( {Vol}_{a,t}^c \) | 0.532*** (30.738) | 1 | | |
\( {Vol}_{d,t}^c \) | 0.843*** (76.740) | 0.847*** (78.071) | 1 | |
\( {Vol}_t^{s\&p} \) | 0.227*** (11.401) | 0.143*** (7.069) | 0.148*** (7.318) | 1 |
- Notes. This table reports the correlation matrix of the realized volatilities of semi-day returns of the CSI300 in the morning (\( {Vol}_{m,t}^c \)), semi-day returns of the CSI300 in the afternoon (\( {Vol}_{a,t}^c \)), daily returns of the CSI300 (\( {Vol}_{d,t}^c \)) and daily returns of the SPX (\( {Vol}_t^{s\&p} \)). The sample period spans from January 1, 2010, to March 31, 2020. The t-statistics of the correlations are shown in parenthesis. One, two and three asterisks (*) indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively
