Data Analytic Replication of a Research Claim from Bollerslev (2009), from RevFinStudies

Jianhua Duan, Elan Parsons, Olivia Miske, Brianna Luis, Zachary Loomas, Nicholas Fox, Andrew Tyner, Krystal Hahn, Sanghyun Hong & W. Reed
This is a Data Analytic Replication (DAR) attempt on the claim 4 “We begin by reporting in Table 2 the results for our empirical equivalent to the key return regression defined in Equation (17)...The quarterly return regression results in a much more impressive t-statistic of 2.86 and a corresponding R2 of 6.82%...the results in Table 2 reveal a clear pattern in the degree of predictability afforded by the variance risk premium with the largest t-statistic...
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