From: Return direction forecasting: a conditional autoregressive shape model with beta density
\(R^2_{oos}\)(%) | Whole sample | Expansion | Recession |
---|---|---|---|
B-CARS(1,1) | 0.099 | 0.056 | 0.329\(^{**}\) |
\(ntis_{-}\) | \(-0.044\) | 0.231\(^{**}\) | \(-0.160\) |
\(ltr_{-}\) | 0.164\(^{**}\) | 1.11\(^{**}\) | 0.557\(^{*}\) |