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

Financial Innovation

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

Model	MAE		MSE		MAD		MSD		R\(^2\)LOG		QLIKE
Model	\(T_{R}\)	\(T_{SQ}\)	\(T_{R}\)	\(T_{SQ}\)	\(T_{R}\)	\(T_{SQ}\)	\(T_{R}\)	\(T_{SQ}\)	\(T_{R}\)	\(T_{SQ}\)	\(T_{R}\)	\(T_{SQ}\)
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