Table 11 MCS out-of-sample forecasting test for stock market
From: To jump or not to jump: momentum of jumps in crude oil price volatility prediction
Models | QLIKE | MSE | MAE | MSPE | MAPE | MSE-LOG |
|---|---|---|---|---|---|---|
Panel A: 1-day horizon | ||||||
HAR-RV | 1.000 | 0.690 | 0.096 | 0.002 | 0.000 | 0.012 |
HAR-CJ | 0.047 | 0.751 | 0.096 | 0.014 | 0.012 | 0.012 |
Mean | 0.906 | 1.000 | 0.096 | 0.001 | 0.000 | 0.012 |
MoJ | 0.945 | 0.690 | 1.000 | 1.000 | 1.000 | 1.000 |
Panel B: 5-day horizon | ||||||
HAR-RV | 0.000 | 0.010 | 0.000 | 0.000 | 0.000 | 0.000 |
HAR-CJ | 0.000 | 0.010 | 0.001 | 0.000 | 0.002 | 0.001 |
Mean | 0.000 | 0.068 | 0.001 | 0.000 | 0.000 | 0.000 |
MoJ | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
Panel C: 10-day horizon | ||||||
HAR-RV | 0.000 | 0.004 | 0.000 | 0.000 | 0.000 | 0.000 |
HAR-CJ | 0.000 | 0.004 | 0.000 | 0.014 | 0.000 | 0.000 |
Mean | 0.000 | 0.005 | 0.000 | 0.000 | 0.000 | 0.000 |
MoJ | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
Panel D: 22-day horizon | ||||||
HAR-RV | 0.000 | 0.005 | 0.000 | 0.000 | 0.000 | 0.000 |
HAR-CJ | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Mean | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
MoJ | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |