|
Model |
Tr |
MCS |
TSQ |
MCS |
|
P |
∙x∙"∙4. Pl |
P |
∙x∙"∙4. Pl | |
|
GJRRVG |
0.000 |
0.000 |
0.001 |
0.001 |
|
SV |
0.001 |
0.001 |
0.001 |
0.001 |
|
GJR |
0.000 |
0.001 |
0.000 |
0.001 |
|
GARCH |
0.002 |
0.002 |
0.001 |
0.001 |
|
GJRRV |
0.000 |
0.002 |
0.000 |
0.001 |
|
ALLMBF u |
0.002 |
0.002 |
0.008 |
0.008 |
|
GARCHRV |
0.007 |
0.007 |
0.009 |
0.009 |
|
SVRV |
0.006 |
0.007 |
0.006 |
0.009 |
|
VIX |
0.022 |
0.022 |
0.034 |
0.034 |
|
ALLu |
0.017 |
0.022 |
0.026 |
0.034 |
|
ARMA |
0.055 |
0.055 |
0.047 |
0.047 |
|
ALLr |
0.082 |
0.082 |
0.091 |
0.091 |
|
ARMA + ARFIMAu |
0.078 |
0.082 |
0.066 |
0.091 |
|
ARFIMA |
0.082 |
0.082 |
0.106 |
0.106 |
|
[ARMAiARFIMA] u |
0.150 |
0.150 |
0.212 |
0.212 |
|
ALLMBF r |
0.827 |
0.827 |
0.795 |
0.795 |
|
ARMA + ARFIMAr |
0.867 |
0.867 |
0.867 |
0.867 |
|
(ARMA+ARFIMA∖ r |
_ |
1.000 |
_ |
1.000 |
Table 6: MCS results for individual forecasts given the QLIKE loss function.
The first row respresents the first model removed, down to the best performaing
model in the last row.
found to be superior to the individual mode based and VIX forecasts. In
summary, the most accurate SfcP 500 volatility forecast is obtained from a
combination of short and long memory models of realised volatility. While
previous work has found that the VIX contains no information beyond that
contained in model based forecasts. These findings indicate that, while it is
entirely plausible that the implied volatility combines information used in a
range of different model based forecasts, it is not the best possible combination
of such information. When compared to other combined forecasts, the VIX
drops out of the model confidence set.
24
More intriguing information
1. The name is absent2. Placentophagia in Nonpregnant Nulliparous Mice: A Genetic Investigation1
3. The name is absent
4. Importing Feminist Criticism
5. The name is absent
6. Modelling the Effects of Public Support to Small Firms in the UK - Paradise Gained?
7. What Drives the Productive Efficiency of a Firm?: The Importance of Industry, Location, R&D, and Size
8. Perceived Market Risks and Strategic Risk Management of Food Manufactures: Empirical Results from the German Brewing Industry
9. The name is absent
10. Gerontocracy in Motion? – European Cross-Country Evidence on the Labor Market Consequences of Population Ageing