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 | 0.071 | 0.086 | 0.003 | 0.019 | 0.001 | 0.000 |
HAR-CJ | 0.016 | 0.192 | 0.077 | 0.019 | 0.001 | 0.000 |
Mean | 0.071 | 0.114 | 0.004 | 0.001 | 0.000 | 0.000 |
MoJ | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
Panel B: 5-day horizon | ||||||
HAR-RV | 0.001 | 0.004 | 0.000 | 0.000 | 0.002 | 0.000 |
HAR-CJ | 0.001 | 0.004 | 0.000 | 0.000 | 0.000 | 0.000 |
Mean | 0.000 | 0.004 | 0.000 | 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 | 0.001 | 0.000 | 0.000 | 0.002 | 0.002 |
HAR-CJ | 0.000 | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 |
Mean | 0.000 | 0.001 | 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 | 0.001 | 0.000 | 0.001 | 0.039 | 0.003 | 0.003 |
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 |