model is eliminated from M, save the (bootstrapped) р-value of the EPA test
in (13) or (14) as p (к). For instance, if model Mi was eliminated in the third
iteration, i.e. к = 3. The р-value for this zth model is then p) = ιιιax∕,<3p(k).
This ensures that the model eliminated first is associated with the smallest
р-value indicating that it is the least likely to belong into the MCS8.
4 Empirical results
Results pertaining to individual forecasts, including the VIX and MBF will
be discussed first, followed by those including the combination forecasts. The
exact composition of the combinations will be outlined once the individual
forecasts are compared as their composition is motivated by the performance
of the individual forecasts. Rankings based simply on the loss functions, MSE
and QLIKE will be discussed first followed by an examination of the MCS.
4.1 Individual forecasts
Table 1 reports the ranking based on both MSE and QLIKE for all of the
individual forecasts. The rankings given the two different loss functions differ
slightly, as they penalise forecast errors differently. A number of interesting
patterns emerge. The ARMA and ARFIMA time series forecasts based on RV
produce the most accurate forecasts of RV¢+22, confirming similar results (e.g.
Anderson et al., 2003). Another obvious result is that VIX9 is not amongst the
most accurate forecasts under either loss function, although it does better under
the asymmetric loss function. Further it is apparent that the GARCH models
8See Hansen et al. (2005) for a detailed interpretation for the MCS p-values.
9Poon and Granger (2003) suggest to divide the VIX by /∕365∕252 to account for the
difference between calender month and trading days.
16
More intriguing information
1. The name is absent2. The quick and the dead: when reaction beats intention
3. The name is absent
4. AN EXPLORATION OF THE NEED FOR AND COST OF SELECTED TRADE FACILITATION MEASURES IN ASIA AND THE PACIFIC IN THE CONTEXT OF THE WTO NEGOTIATIONS
5. Cyber-pharmacies and emerging concerns on marketing drugs Online
6. Surveying the welfare state: challenges, policy development and causes of resilience
7. Demographic Features, Beliefs And Socio-Psychological Impact Of Acne Vulgaris Among Its Sufferers In Two Towns In Nigeria
8. Industrial Cores and Peripheries in Brazil
9. Social Cohesion as a Real-life Phenomenon: Exploring the Validity of the Universalist and Particularist Perspectives
10. Quelles politiques de développement durable au Mali et à Madagascar ?