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