Table 14.
Results of MCS test during coronavirus crisis.
| Forecasting models | QLIKE |
MSE |
||
|---|---|---|---|---|
| Range | SeimQ | Range | SeimQ | |
| Panel A: h = 1 | ||||
| MIDAS-RV | 0.0999 | 0.0585 | 0.5768 | 0.5369 |
| MIDAS-RV-OVX | 0.0999 | 0.0625 | 0.2975 | 0.4379 |
| MS-MIDAS-RV | 0.0999 | 0.0585 | 0.5768 | 0.5369 |
| MS-MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel B: h = 5 | ||||
| MIDAS-RV | 0.1732 | 0.1066 | 0.4466 | 0.3430 |
| MIDAS-RV-OVX | 0.2000 | 0.1300 | 0.1753 | 0.3003 |
| MS-MIDAS-RV | 0.2000 | 0.1300 | 0.4466 | 0.3430 |
| MS-MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel C: h = 20 | ||||
| MIDAS-RV | 0.0007 | 0.0021 | 0.0076 | 0.0026 |
| MIDAS-RV-OVX | 0.0007 | 0.0013 | 0.0076 | 0.0022 |
| MS-MIDAS-RV | 0.0531 | 0.0531 | 0.0076 | 0.0045 |
| MS-MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
Notes: This table show the results of MCS test during the coronavirus crisis. The forecasting period ranges from December 01, 2019 to April 16, 2020, and contains 77 observations. In this table, the MCS test p-value of 1indicates a better prediction.