Financial Innovation

Table 4 Out-of-sample R-square statistics of different models

From: Return direction forecasting: a conditional autoregressive shape model with beta density

\(R^2_{oos}\)(%)	Whole sample	Expansion	Recession
B-CARS(1,1)	0.099	0.056	0.329\(^{**}\)
\(ntis_{-}\)	\(-0.044\)	0.231\(^{**}\)	\(-0.160\)
\(ltr_{-}\)	0.164\(^{**}\)	1.11\(^{**}\)	0.557\(^{*}\)

[1] We use \(x_{-}\) to represent B-CARS(1,1) with x as exogeneous variable
[2] We use \(^{***}\),\(^{**}\) and \(^{*}\) to represent significance at the level of 1%, 5% and 10% respectively

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