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Table 4 MCS test results of the model (400-day out-of-sample prediction window)

From: Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Model MAE MSE MAD MSD R\(^2\)LOG QLIKE
\(T_{R}\) \(T_{SQ}\) \(T_{R}\) \(T_{SQ}\) \(T_{R}\) \(T_{SQ}\) \(T_{R}\) \(T_{SQ}\) \(T_{R}\) \(T_{SQ}\) \(T_{R}\) \(T_{SQ}\)
GM-\(^{\bigtriangleup }GEPU\) 0.064 0.053 0.525 0.628 0.027 0.019 0.175 0.175 0.153 0.206 0.335 0.264
GM-\(^{\bigtriangleup }EEPU\) 1.000 1.000 0.978 0.978 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000
GARCH 0.001 0.006 0.221 0.118 0.000 0.000 0.003 0.005 0.000 0.000 0.335 0.264
GJRGARCH 0.003 0.009 0.105 0.060 0.001 0.000 0.003 0.004 0.000 0.002 0.319 0.233
NAGERCH 0.031 0.029 0.221 0.211 0.027 0.019 0.094 0.050 0.576 0.576 0.319 0.233
NGARCH 0.003 0.013 0.525 0.628 0.000 0.000 0.003 0.004 0.000 0.000 0.319 0.233
EGARCH 0.064 0.053 1.000 1.000 0.004 0.003 0.094 0.050 0.000 0.000 0.113 0.123
IGARCH 0.000 0.002 0.221 0.138 0.000 0.000 0.000 0.002 0.000 0.000 0.335 0.264
  1. The bold numbers represent the models with p value greater than 0.1