| Variable | Source and description |
1 | Index return | CRSP |
2 | Stock return | CRSP |
3 | Realized volatility index | CRSP |
4 | Realized stock volatility | Option metrics |
5 | Implied stock volatility | Option metrics |
6 | Realize idiosyncratic volatility | Standard deviation (index return, stock return) |
7 | Implied idiosyncratic volatility | Calculated with (stock beta, realized and implied stock volatility) [Equations (3) and (4)] |
8 | EGARCH idiosyncratic volatility | Fama French and liquidity factors [Equation (5)] |
9 | AR (2) idiosyncratic volatility | Fama French and liquidity factors [Equation (6)] |
10 | Market value | Option metric (use to calculate) |
11 | Firm’s equity | Compustat (use with equation of 10, to calculate) |
12 | Option volume | Option metrics (use to calculate option interest) |