Table 4 Out-of-sample results for one-step-ahead forecast
From: Uncertainty index and stock volatility prediction: evidence from international markets
Asset | EMU | VIX | DVIX | VOL | USEPU | UKEPU | CNEPU | PCA | PLS | s-FPCA | s-PCA |
|---|---|---|---|---|---|---|---|---|---|---|---|
AORD | 0.53% | 2.77% | 6.00% | 2.89% | 0.11% | − 0.06% | − 0.07% | 3.16% | 4.45% | 7.13% | 7.45% |
(4.533***) | (8.291***) | (8.881***) | (9.856***) | (2.316***) | (0.646) | (0.515) | (8.906***) | (9.934***) | (9.751***) | (9.063***) | |
BFX | 0.15% | 4.26% | 7.00% | 0.37% | − 0.09% | 0.03% | − 0.07% | 2.52% | 2.01% | 5.84% | 5.87% |
(2.691***) | (8.805***) | (11.455***) | (3.989***) | (− 0.092***) | (1.388) | (− 0.584) | (8.525***) | (7.898***) | (10.009***) | (8.864***) | |
BSESN | 0.45% | 2.29% | 2.13% | 0.29% | − 0.04% | − 0.14% | − 0.13% | 1.15% | 1.48% | 2.24% | 2.38% |
(3.936***) | (5.110***) | (7.643***) | (3.463***) | (0.933) | (− 0.406) | (0.145) | (6.706***) | (6.476***) | (7.621***) | (7.148***) | |
BVSP | 0.19% | 1.19% | 1.56% | 0.05% | − 0.09% | − 0.11% | − 0.02% | 1.09% | 0.92% | 1.64% | 1.83% |
(3.028***) | (6.119***) | (7.101***) | (1.603) | (− 0.563) | (− 0.373) | (1.224) | (6.090***) | (5.507***) | (7.058***) | (7.124***) | |
DJI | 0.42% | 5.19% | 4.86% | − 0.10% | − 0.06% | − 0.02% | − 0.09% | 1.47% | 1.27% | 3.65% | 3.72% |
(3.760***) | (13.450***) | (11.224***) | (0.476) | (0.252) | (0.738) | (− 0.241) | (7.087***) | (6.595***) | (9.197***) | (9.699***) | |
FCHI | 0.23% | 4.28% | 7.39% | 0.78% | − 0.08% | − 0.09% | − 0.09% | 2.46% | 2.23% | 6.19% | 6.27% |
(3.269***) | (9.837***) | (12.820***) | (5.38***) | (0.324) | (− 0.405) | (− 0.421) | (9.044***) | (8.606***) | (11.417***) | (10.202***) | |
FTMIB | − 0.22% | 2.66% | 6.28% | 0.37% | − 0.04% | − 0.05% | − 0.19% | 1.96% | 1.33% | 5.95% | 5.61% |
(1.082) | (6.025***) | (9.154***) | (2.838***) | (0.477) | (0.250) | (− 1.785*) | (5.555***) | (4.788***) | (8.576***) | (7.594***) | |
FTSE | 0.13% | 5.41% | 5.22% | 1.24% | − 0.04% | − 0.08% | − 0.11% | 2.74% | 2.67% | 5.90% | 6.18% |
(2.323***) | (10.676***) | (8.920***) | (7.033***) | (1.016) | (− 1.354) | (− 0.814) | (7.980***) | (8.361***) | (9.209***) | (7.727***) | |
GDAXI | 0.03% | 3.00% | 6.18% | 1.01% | − 0.19% | − 0.08% | − 0.15% | 2.39% | 1.79% | 5.87% | 5.76% |
(2.044***) | (9.507***) | (11.867***) | (5.986***) | (− 0.019) | (− 0.030) | (− 0.913) | (8.595***) | (7.683***) | (11.616***) | (10.359***) | |
GSPTSE | − 0.05% | 2.74% | 3.03% | 0.04% | 0.03% | − 0.13% | − 0.14% | 1.27% | 0.85% | 2.86% | 2.94% |
(1.333) | (8.438***) | (8.360***) | (1.719*) | (1.388) | (− 1.490) | (− 0.138) | (5.822***) | (5.158***) | (7.867***) | (7.569***) | |
HSI | 0.40% | 2.01% | 2.87% | 0.28% | − 0.09% | − 0.06% | − 0.18% | 1.35% | 1.65% | 2.51% | 2.80% |
(3.755***) | (6.119***) | (8.201***) | (3.233***) | (− 0.908) | (0.214) | (0.119) | (5.701***) | (6.419***) | (7.285***) | (6.850***) | |
IBEX | 0.28% | 2.02% | 5.42% | 0.40% | − 0.06% | − 0.03% | − 0.07% | 2.33% | 1.68% | 4.40% | 4.83% |
(3.437***) | (8.057***) | (11.262***) | (4.015***) | (0.921) | (0.527) | (0.342) | (8.686***) | (7.535***) | (10.286***) | (9.835***) | |
KS11 | 0.56% | 3.34% | 5.08% | 0.17% | − 0.17% | − 0.15% | − 0.19% | 1.86% | 2.19% | 3.93% | 4.60% |
(4.530***) | (7.378***) | (11.561***) | (2.714***) | (− 1.568) | (− 0.945) | (− 1.496) | (8.060***) | (8.129***) | (9.656***) | (9.931***) | |
KSE | − 0.02% | 0.32% | − 0.03% | − 0.19% | 0.00% | − 0.25% | − 0.12% | 0.01% | 0.05% | 0.00% | 0.06% |
(1.265) | (3.041***) | (1.458) | (− 0.602) | (1.431) | (− 0.405) | (− 0.458) | (1.921*) | (1.995**) | (1.564) | (2.047**) | |
MXX | 0.29% | 0.94% | 1.09% | − 0.04% | − 0.17% | − 0.09% | − 0.09% | 0.60% | 0.68% | 1.09% | 1.26% |
(3.754***) | (7.481***) | (5.513***) | (1.583) | (− 0.790) | (− 0.142) | (− 0.117) | (4.546***) | (4.962***) | (5.308***) | (5.496***) | |
N225 | 0.53% | 1.72% | 6.96% | 0.84% | − 0.15% | − 0.03% | − 0.13% | 2.97% | 3.23% | 7.30% | 7.68% |
(4.364***) | (6.896***) | (10.880***) | (5.789***) | (− 1.475) | (0.574) | (− 0.224) | (8.366***) | (8.892***) | (10.583***) | (9.211***) | |
OMXC20 | 0.59% | 2.21% | 3.26% | 0.82% | − 0.13% | − 0.03% | − 0.11% | 2.66% | 2.58% | 3.59% | 3.96% |
(3.977***) | (7.072***) | (6.406***) | (5.509***) | (− 0.264) | (0.745) | (− 0.880) | (6.939***) | (7.189***) | (6.422***) | (5.847***) | |
OMXHPI | 0.69% | 5.44% | 5.91% | 0.74% | − 0.21% | − 0.04% | − 0.05% | 4.46% | 3.07% | 6.17% | 6.39% |
(4.669***) | (8.937***) | (9.984***) | (4.516***) | (− 0.563) | (0.580) | (0.870) | (10.199***) | (8.616***) | (9.701***) | (8.445***) | |
OMXSPI | 0.49% | 5.00% | 7.82% | 0.44% | − 0.23% | 0.01% | − 0.09% | 4.70% | 2.83% | 7.86% | 7.99% |
(3.946***) | (8.493***) | (10.955***) | (3.865***) | (− 1.006) | (1.359) | (− 0.258) | (9.227***) | (8.038***) | (10.314***) | (8.68***) | |
OSEAX | 0.12% | 4.76% | 4.69% | 0.92% | − 0.17% | − 0.07% | − 0.10% | 3.20% | 2.47% | 4.76% | 4.94% |
(2.784***) | (9.969***) | (8.638***) | (6.424***) | (− 0.474) | (− 0.316) | (− 0.452) | (8.387***) | (7.911***) | (8.497***) | (7.583***) | |
SSEC | − 0.10% | − 0.19% | 2.18% | − 0.05% | − 0.11% | 0.03% | − 0.15% | 0.57% | 0.30% | 1.70% | 1.58% |
(− 0.375) | (2.047***) | (8.525***) | (0.783) | (− 0.034) | (1.231) | (0.541) | (4.624***) | (3.089***) | (7.585***) | (7.163***) | |
SSMI | 0.25% | 2.67% | 6.93% | 0.87% | − 0.02% | − 0.10% | 0.01% | 2.82% | 2.25% | 5.60% | 5.93% |
(3.218***) | (8.670***) | (11.697***) | (5.551***) | (0.399) | (− 0.967) | (1.007) | (9.206***) | (8.155***) | (10.216***) | (9.618***) | |
STOXX50E | 0.14% | 4.31% | 5.36% | 1.30% | − 0.17% | − 0.03% | − 0.14% | 2.65% | 2.34% | 5.51% | 5.53% |
(2.572**) | (10.364***) | (11.029***) | (6.727***) | (0.289) | (0.209) | (− 1.170) | (9.295***) | (8.860***) | (11.057***) | (9.853***) |