Table 9 MCS out-of-sample test based on the MIDAS-RV and MIDAS-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 | ||||||
MIDAS-RV | 0.259 | 0.067 | 0.002 | 0.002 | 0.000 | 0.000 |
MIDAS-CJ | 0.027 | 0.152 | 0.024 | 0.002 | 0.000 | 0.000 |
Mean | 0.259 | 0.137 | 0.002 | 0.002 | 0.000 | 0.000 |
MoJ | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
Panel B: 5-day horizon | ||||||
MIDAS-RV | 0.000 | 0.002 | 0.000 | 0.003 | 0.000 | 0.000 |
MIDAS-CJ | 0.000 | 0.002 | 0.000 | 0.000 | 0.000 | 0.000 |
Mean | 0.000 | 0.002 | 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 | ||||||
MIDAS-RV | 0.000 | 0.000 | 0.000 | 0.011 | 0.000 | 0.000 |
MIDAS-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 |
Panel D: 22-day horizon | ||||||
MIDAS-RV | 0.000 | 0.012 | 0.000 | 0.028 | 0.000 | 0.001 |
MIDAS-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 |