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Financial Innovation

Table 9 Out-of-Sample Forecasting Analysis

From: Timing the market: the economic value of price extremes

 

Panel A. Monthly Index Data

Panel B. Quarterly Index Data

Out-of-Sample

1971.01-2015.12 1989.01-2015.12 1996.01-2015.12

1971Q1-2015Q4 1989Q1-2015Q4 1996Q1-2015Q4

R2oos (%)

1.07*

0.098

1.46

3.87**

0.97*

2.14*

CER (%)

0.378

1.03

2.41

2.95

4.20

4.85

SR p

0.059

0.076

0.099

0.201

0.227

0.226

SR bh

0.037

0.085

0.068

0.060

0.138

0.109

  1. Note. ***, **, * means respectively statistical significance at the level of 1%, 5% and 10%. The statistical significance of Roos2 is evaluated with the MSPE-adjusted statistic (Clark and West, 2007). The MSPE-adjusted statistic is conveniently calculated by first defining ft+1 = (rt+1-rmt+1)2-[(rt+1-rtp+1)2-(rmt+1-rtp+1)2].
  2. By regressing ft+1 on a constant and calculating the t-statistic corresponding to the constant, a p-value for a one-sided (upper-tail) test is obtained with the standard normal distribution
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