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Financial Innovation

Table 9 The DMW statistic for new models in forecasting long-term realized volatility

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

 

HAR-RV-J-B

HAR-CJ-B

PS-B

PSLev-B

HAR-RSV-B

HAR-RSV-J-B

HAR-RV-SJ-B

HAR-CSJ-B

HAR-RV-SJd-B

HAR-CSJd-B

Panel A: forecast horizon h = 22

HAR-RV-B

2.1857

− 0.1865

1.7812

0.8469

− 0.6011

0.2462

1.8831

2.3238

1.7709

0.8547

HAR-RV-J-B

 

− 0.5460

− 2.1105

− 2.1356

− 1.0841

− 0.6966

− 0.6879

1.3434

− 0.4938

− 0.0831

HAR-CJ-B

  

0.2094

0.1932

− 0.0857

0.2265

0.5237

0.8573

0.5274

0.4166

PS-B

   

− 1.6391

− 0.6417

0.1731

1.8157

2.2502

1.6991

0.7883

PSLev-B

    

− 0.6173

0.2249

1.8325

2.3059

1.7241

0.8383

HAR-RSV-B

     

1.2031

1.0017

2.7131

1.0023

1.6149

HAR-RSV-J-B

      

0.5903

2.6321

0.5933

1.3226

HAR-RV-SJ-B

       

1.3599

0.0076

− 0.0081

HAR-CSJ-B

        

− 1.3449

− 1.8402

HAR-RV-SJd-B

         

− 0.0093

Panel B: forecast horizon h = 44

HAR-RV-B

1.0521

− 0.0461

− 0.1171

− 0.2264

1.0162

0.9896

0.7485

2.8947

0.9737

− 1.0319

HAR-RV-J-B

 

− 0.2469

− 1.4731

− 1.0271

− 0.4088

0.2733

− 1.3725

2.9459

− 1.3741

− 1.4960

HAR-CJ-B

  

0.0389

0.0380

0.1622

0.2890

0.1828

1.0213

0.2281

− 0.4784

PS-B

   

− 0.0094

0.9870

1.2398

1.1132

2.9892

1.3628

− 1.0251

PSLev-B

    

0.8211

0.9778

0.7339

2.7863

0.9579

− 0.9792

HAR-RSV-B

     

0.5069

0.0633

3.0352

0.3155

− 1.3117

HAR-RSV-J-B

      

− 0.9668

2.8459

− 0.4079

− 1.4716

HAR-RV-SJ-B

       

2.9098

0.8686

− 1.3727

HAR-CSJ-B

        

− 2.9845

− 2.6827

HAR-RV-SJd-B

         

− 1.4652

Panel C: forecast horizon h = 66

HAR-RV-B

1.1689

− 0.6521

1.6637

1.7833

− 1.0486

− 0.7506

1.3646

0.7236

1.0524

0.5457

HAR-RV-J-B

 

− 0.9007

− 1.0336

− 1.0653

− 1.4658

− 1.2167

− 0.8408

0.0808

− 0.9470

0.1644

HAR-CJ-B

  

0.6902

0.6922

0.2102

0.3963

0.7489

1.2456

0.8717

1.0596

PS-B

   

0.4127

− 1.1371

− 0.8364

0.9754

0.6580

0.8948

0.5046

PSLev-B

    

− 1.1482

− 0.8481

0.7536

0.6327

0.9139

0.4919

HAR-RSV-B

     

0.8909

1.2188

2.6445

1.3828

1.3024

HAR-RSV-J-B

      

0.9489

2.4522

1.1137

1.1750

HAR-RV-SJ-B

       

0.5216

0.6664

0.4232

HAR-CSJ-B

        

− 0.1876

0.2394

HAR-RV-SJd-B

         

0.2272

  1. Long-term covers forecast horizon of 22, 44 and 66 days. Other comments are the same as Table 8
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