# Generalized Market Uncertainty Measurement in European Stock Markets in Real Time

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## Abstract

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## 1. Introduction

## 2. Measuring Uncertainty via Stock Prices

#### 2.1. Factor Model

#### 2.2. Volatility Estimation

## 3. Data

## 4. Results

## 5. Conclusions

## Supplementary Materials

## Author Contributions

## Funding

## Acknowledgments

## Conflicts of Interest

## References

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**Figure 1.**Market uncertainty in (

**a**) Belgium; (

**b**) France; (

**c**) Germany; (

**d**) Italy; (

**e**) Spain; (

**f**) Sweden; (

**g**) Switzerland; and (

**h**) the United Kingdom.

BEL | FRA | GER | ITA | SPN | SWD | SWT | UK | |
---|---|---|---|---|---|---|---|---|

S.D. | 0.157 | 0.125 | 0.160 | 0.109 | 0.131 | 0.127 | 0.183 | 0.135 |

Skewness | 2.284 | 2.061 | 1.991 | 1.619 | 1.134 | 1.444 | 2.108 | 2.327 |

Kurtosis | 6.584 | 5.686 | 4.675 | 3.363 | 1.591 | 2.447 | 5.460 | 5.816 |

ρ | 0.9960 | 0.9990 | 0.9993 | 0.9968 | 0.9980 | 0.9940 | 0.9987 | 0.9985 |

Half-Life | 171 | 675 | 941 | 218 | 339 | 116 | 515 | 460 |

BEL | FRA | GER | ITA | SPN | SWD | SWT | UK | |
---|---|---|---|---|---|---|---|---|

Factor 1 | ||||||||

Mean | −0.036 | 0.022 | −0.016 | −0.018 | 0.073 | −0.044 | 0.011 | 0.045 |

S.D. | 1.419 | 1.839 | 1.545 | 4.306 | 1.935 | 1.390 | 1.463 | 2.736 |

Skewness | −1.914 | 0.018 | −0.677 | −0.279 | −0.360 | −0.261 | 0.066 | −0.615 |

Kurtosis | 20.837 | 5.275 | 22.237 | 4.451 | 7.694 | 6.540 | 3.586 | 8.198 |

Factor 2 | ||||||||

Mean | −0.136 | 0.012 | −0.025 | −0.055 | −0.021 | −0.067 | - | 0.105 |

S.D. | 2.606 | 1.783 | 1.438 | 2.198 | 1.610 | 3.024 | - | 3.661 |

Skewness | −0.953 | −0.038 | 0.132 | 0.342 | 0.306 | 0.371 | - | −0.490 |

Kurtosis | 13.010 | 3.606 | 6.418 | 6.679 | 7.781 | 5.320 | - | 6.116 |

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**MDPI and ACS Style**

Uribe, J.M.; Guillen, M.
Generalized Market Uncertainty Measurement in European Stock Markets in Real Time. *Mathematics* **2020**, *8*, 2148.
https://doi.org/10.3390/math8122148

**AMA Style**

Uribe JM, Guillen M.
Generalized Market Uncertainty Measurement in European Stock Markets in Real Time. *Mathematics*. 2020; 8(12):2148.
https://doi.org/10.3390/math8122148

**Chicago/Turabian Style**

Uribe, Jorge M., and Montserrat Guillen.
2020. "Generalized Market Uncertainty Measurement in European Stock Markets in Real Time" *Mathematics* 8, no. 12: 2148.
https://doi.org/10.3390/math8122148