Table 7 MCS out-of-sample test using the logarithmic HAR-RV and HAR-CJ models
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 | 0.127 | 0.038 | 0.000 | 0.073 | 0.000 | 0.002 |
HAR-CJ | 0.788 | 0.827 | 0.851 | 1.000 | 0.349 | 0.387 |
Mean | 1.000 | 0.739 | 0.046 | 0.208 | 0.001 | 0.056 |
MoJ | 0.788 | 1.000 | 1.000 | 0.856 | 1.000 | 1.000 |
Panel B: 5-day horizon | ||||||
HAR-RV | 0.000 | 0.002 | 0.000 | 0.000 | 0.000 | 0.000 |
HAR-CJ | 0.000 | 0.033 | 0.002 | 0.001 | 0.000 | 0.000 |
Mean | 0.000 | 0.003 | 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 | 0.000 | 0.000 |
HAR-CJ | 0.000 | 0.003 | 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 | 0.000 | 0.000 | 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 |