MSE |
_________QLIKE____ | ||
ARMA |
1.659 |
ARFIMA |
3159.2 |
ARFIMA |
1.667 |
ARMA |
3174.3 |
GARCHRV |
1.952 |
SVRV |
3222.5 |
GJRRV |
2.161 |
VIX |
3253.0 |
GJRRVG |
2.404 |
GARCHRV |
3266.6 |
VIX |
2.525 |
GJRRV |
3278.7 |
GARCH |
2.575 |
GARCH |
3472.5 |
SV |
2.730 |
GJR |
3575.7 |
GJR |
2.857 |
GJRRVG |
3700.7 |
SVRV |
4.543 |
SV_______ |
3923.0 |
Table 1: Loss function rankings for individual forecasts.
Model |
Tr |
MCS |
TSQ |
MCS |
P |
Pl |
P |
Pl | |
SVRV |
0.013 |
0.013 |
0.005 |
0.005 |
GJR |
0.016 |
0.016 |
0.005 |
0.005 |
SV |
0.016 |
0.016 |
0.002 |
0.005 |
GARCH |
0.011 |
0.016 |
0.003 |
0.005 |
VIX |
0.011 |
0.016 |
0.004 |
0.005 |
GJRRVG |
0.009 |
0.016 |
0.000 |
0.005 |
GJRRV |
0.005 |
0.016 |
0.000 |
0.005 |
GARCHRV |
0.008 |
0.016 |
0.006 |
0.006 |
ARFIMA |
0.844 |
0.844 |
0.844 |
0.844 |
ARMA |
_ |
1.000 |
_ |
1.000 |
Table 2: MCS results for individual forecasts given the MSE loss function.
The first row respresents the first model removed, down to the best performing
model in the last row.
that incorporate RV measures into the volatility equation are more accurate
out-of-sample than those that do not.
MCS results will now reveal whether the VIX is significantly inferior to
those forecasts with lower average loss.
Table 2 reports the MCS results for the individual forecasts based on the
MSE loss function. It turns out that the model with the largest T⅛ test statistic
is the SVRV model. The p-value, determined in the first reduction round is
0.013. As it is eliminated in the first round this automatically determines the
17
More intriguing information
1. The name is absent2. Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?
3. The name is absent
4. The name is absent
5. The name is absent
6. National curriculum assessment: how to make it better
7. The Structure Performance Hypothesis and The Efficient Structure Performance Hypothesis-Revisited: The Case of Agribusiness Commodity and Food Products Truck Carriers in the South
8. Delayed Manifestation of T ransurethral Syndrome as a Complication of T ransurethral Prostatic Resection
9. The name is absent
10. Tastes, castes, and culture: The influence of society on preferences