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Table 6 MCS test results of the model (using the logarithmic growth rate of EPU)

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-\(^{*}GEPU\) 0.059 0.059 0.778 0.778 0.024 0.024 0.198 0.198 0.038 0.038 0.881 0.957
GM-\(^{*}EEPU\) 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 0.881 0.957
GARCH 0.000 0.000 0.110 0.159 0.000 0.000 0.000 0.000 0.000 0.000 1.000 1.000
GJRGARCH 0.000 0.000 0.368 0.295 0.000 0.000 0.000 0.002 0.000 0.000 0.881 0.957
NAGERCH 0.008 0.007 0.566 0.585 0.003 0.003 0.020 0.028 0.001 0.001 0.881 0.957
NGARCH 0.000 0.000 0.157 0.188 0.000 0.000 0.000 0.000 0.000 0.000 0.881 0.957
EGARCH 0.000 0.000 0.094 0.087 0.000 0.000 0.000 0.000 0.000 0.000 0.881 0.900
IGARCH 0.000 0.000 0.094 0.097 0.000 0.000 0.000 0.000 0.000 0.000 0.881 0.957
  1. The bold numbers represent the models with p value greater than 0.1