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Table 7 The CW test between existing models and new models

From: Can the Baidu Index predict realized volatility in the Chinese stock market?

 

h = 1

h = 5

h = 10

h = 22

h = 44

h = 66

HAR-RV-B

0.701***

(3.001)

1.750***

(4.657)

3.318***

(6.146)

4.665***

(7.120)

5.451***

(8.493)

7.748***

(9.674)

HAR-RV-J-B

0.460***

(2.550)

1.109***

(4.108)

2.417***

(5.733)

3.887***

(6.927)

4.835***

(8.188)

7.148***

(9.410)

HAR-CJ-B

0.118

(1.219)

0.397***

(2.969)

1.213***

(5.135)

2.400***

(6.373)

3.349***

(7.240)

5.564***

(8.579)

PS-B

0.814***

(3.217)

1.775***

(4.636)

3.439***

(5.818)

4.862***

(6.689)

5.631***

(8.120)

7.960***

(9.339)

PSLev-B

0.840***

(3.240)

1.837***

(4.736)

3.511***

(5.889)

4.903***

(6.657)

5.677***

(8.090)

8.018***

(9.323)

HAR-RSV-B

0.822***

(2.878)

1.858***

(4.378)

3.604***

(5.648)

5.039***

(6.522)

5.776***

(7.919)

8.055***

(9.172)

HAR-RSV-J-B

0.354**

(2.087)

1.139***

(4.002)

2.491***

(5.707)

3.989***

(6.763)

4.914***

(7.989)

7.194***

(9.251)

HAR-RV-SJ-B

0.443***

(2.705)

1.125***

(4.311)

2.472***

(6.064)

3.979***

(7.289)

4.925***

(8.479)

7.254***

(9.645)

HAR-CSJ-B

0.157*

(1.454)

0.692***

(3.627)

1.848***

(5.651)

3.229***

(6.774)

4.176***

(7.943)

6.469***

(9.222)

HAR-RV-SJd-B

0.423***

(2.554)

1.127***

(4.243)

2.461***

(5.980)

3.944***

(7.219)

4.879***

(8.382)

7.232***

(9.596)

HAR-CSJd-B

0.056

(0.764)

0.568***

(3.758)

1.649***

(5.744)

3.020***

(6.645)

4.157***

(7.557)

6.122***

(8.789)

  1. A positive difference indicates the new model with investor attention performs better than its correspondent existing model. The forecasting horizon \(h\) (unit: day) covers short-term, medium-term and long-term. T-statistic is shown in parentheses. ***, ** and * denote the statistical significance at 1%, 5% and 10% level