Table 12.
The results of trading hours with the MCS test.
| Forecasting models |
h = 1 |
h = 5 |
h = 20 |
|||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| QLIKE |
MSE |
QLIKE |
MSE |
QLIKE |
MSE |
|||||||
| Range | SeimQ | Range | SeimQ | Range | SeimQ | Range | SeimQ | Range | SeimQ | Range | SeimQ | |
| Panel A: Day (9:00–15:00) | ||||||||||||
| MIDAS-RV | 0.6787 | 0.7369 | 0.6320 | 0.6700 | 0.0826 | 0.0555 | 0.0380 | 0.0230 | 0.0937 | 0.1870 | 0.0322 | 0.0177 |
| MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 0.0826 | 0.0532 | 0.0195 | 0.0189 | 0.4651 | 0.4330 | 0.0725 | 0.0697 |
| MS-MIDAS-RV | 0.9855 | 0.9907 | 0.6322 | 0.6844 | 0.2597 | 0.2597 | 0.0629 | 0.0629 | 0.4651 | 0.4330 | 0.8913 | 0.8913 |
| MS-MIDAS-RV-OVX | 0.9855 | 0.9907 | 0.9585 | 0.9585 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel B: Night (21:00–02:30) | ||||||||||||
| MIDAS-RV | 0.5653 | 0.6203 | 0.9133 | 0.9126 | 1.0000 | 1.0000 | 0.9113 | 0.9113 | 1.0000 | 1.0000 | 0.8987 | 0.8987 |
| MIDAS-RV-OVX | 1.0000 | 1.0000 | 0.9133 | 0.9017 | 0.0098 | 0.0675 | 0.0773 | 0.2854 | 0.4021 | 0.2986 | 0.3809 | 0.3236 |
| MS-MIDAS-RV | 0.2818 | 0.4351 | 1.0000 | 1.0000 | 0.2099 | 0.3994 | 1.0000 | 1.0000 | 0.4021 | 0.2986 | 1.0000 | 1.0000 |
| MS-MIDAS-RV-OVX | 0.5653 | 0.6203 | 0.8623 | 0.8455 | 0.9603 | 0.9603 | 0.8107 | 0.7915 | 0.4021 | 0.2907 | 0.3809 | 0.1780 |
Notes: This part shows the results of the models during day-time and over-night trading hours. The forecasts for different horizons h = 1, 5, 20 are shown in different columns, and the results of different trading hours (day and night) are shown in Panel A, B. In this table, the MCS test p-value of 1indicates a better prediction.