Indices

Data

M = T^{0. 50}

M = T^{0. 55}

M = T^0.60

M = T^0.65

M = T^0.70

Developed Markets

^AORD

RET

0.1075

0.1352

0.0768

0.0145

0.0196

^AORD

SQR

0.4394***

0.5112***

0.4784***

0.4439***

0.4416***

^AORD

ABS

0.5437***

0.5347***

0.5199***

0.4787***

0.4732***

AEX

RET

0.0534

0.0587

0.0845

0.0664

0.0462

AEX

SQR

0.3976***

0.5022***

0.5479***

0.6041***

0.4885***

AEX

ABS

0.4480***

0.5352***

0.5844***

0.6039***

0.5236***

DAX

RET

0.0452

0.1057

0.0589

0.0461

0.0188

DAX

SQR

0.4379***

0.4687***

0.4733***

0.5163***

0.4409***

DAX

ABS

0.5092***

0.5557***

0.5075***

0.5206***

0.4617***

DJA

RET

0.0335

−0.0010

−0.0094

−0.0083

−0.0378

DJA

SQR

0.4956***

0.6507***

0.5962***

0.6217***

0.5795***

DJA

ABS

0.5296***

0.5444***

0.5752***

0.5685***

0.5432***

FCHI

RET

−0.0508

−0.0125

−0.0107

−0.0279

−0.0665

FCHI

SQR

0.4471***

0.5002***

0.4672***

0.4760***

0.4020***

FCHI

ABS

0.4772***

0.5456***

0.5104***

0.4913***

0.4583***

FTSE 100

RET

0.0419

0.0181

0.0097

−0.0341

−0.0070

FTSE 100

SQR

0.4772***

0.5546***

0.5040***

0.5209***

0.4349***

FTSE 100

ABS

0.4560***

0.5086***

0.4824***

0.4883***

0.4748***

HANGSENG

RET

0.0305

0.1449

0.0930

0.0497

−0.0007

HANGSENG

SQR

0.3434***

0.4237***

0.4435***

0.4970***

0.3406***

HANGSENG

ABS

0.5276***

0.5577***

0.5535***

0.5292***

0.4257***

NIKKEI

RET

0.0038

−0.0009

−0.0356

0.0009

−0.0398

NIKKEI

SQR

0.2670***

0.3203***

0.4461***

0.5505***

0.4445***

NIKKEI

ABS

0.3399***

0.3556***

0.4705***

0.5189***

0.4235***

STRAITS TIMES

RET

0.1409

0.2116***

0.1364***

0.1302***

0.0772

STRAITS TIMES

SQR

0.3807***

0.4238***

0.4586***

0.5016***

0.4531***

STRAITS TIMES

ABS

0.5001***

0.5068***

0.4954***

0.4840***

0.4357***

TSX

RET

0.1109

0.1539

0.0760

0.0293

−0.0069

TSX

SQR

0.6009***

0.7026***

0.5343***

0.6165***

0.6340***

TSX

ABS

0.6258***

0.6424***

0.5020***

0.5189***

0.5284***

Emerging Markets

BUX

RET

0.0717

0.1361**

0.1306**

0.0481

0.0442

BUX

SQR

0.2938***

0.3622***

0.4588***

0.5523***

0.5145***