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Table 5 MCS test results of the model (80-week out-of-sample prediction window of weekly yield)

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-\(^{\bigtriangleup }GEPU\) 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000
GM-\(^{\bigtriangleup }EEPU\) 0.609 0.682 0.720 0.838 0.351 0.325 0.423 0.409 0.922 0.935 0.794 0.790
GARCH 0.126 0.300 0.128 0.398 0.351 0.325 0.082 0.146 0.019 0.199 0.350 0.495
GJRGARCH 0.675 0.682 0.872 0.848 0.582 0.473 0.436 0.460 0.922 0.935 0.794 0.790
NAGARCH 0.609 0.682 0.720 0.838 0.351 0.325 0.423 0.409 0.922 0.935 0.350 0.495
NGARCH 0.093 0.217 0.079 0.187 0.582 0.458 0.082 0.110 0.019 0.042 0.350 0.410
EGARCH 0.700 0.700 0.872 0.848 0.886 0.886 0.464 0.464 0.922 0.935 0.597 0.695
IGARCH 0.005 0.029 0.004 0.024 0.351 0.325 0.032 0.036 0.019 0.001 0.350 0.328
  1. The bold numbers represent the models with p value greater than 0.1