Table 6.
The result of alternative realized measures (RK) with the MCS test.
| Forecasting models | QLIKE |
MSE |
||
|---|---|---|---|---|
| Range | SeimQ | Range | SeimQ | |
| Panel A: h = 1 | ||||
| MIDAS-RV | 1.0000 | 1.0000 | 0.9426 | 0.9426 |
| MIDAS-RV-OVX | 0.7715 | 0.7715 | 1.0000 | 1.0000 |
| MS-MIDAS-RV | 0.0000 | 0.0009 | 0.0004 | 0.0007 |
| MS-MIDAS-RV-OVX | 0.0000 | 0.0000 | 0.0000 | 0.0001 |
| Panel B: h = 5 | ||||
| MIDAS-RV | 0.1644 | 0.1676 | 0.2406 | 0.2013 |
| MIDAS-RV-OVX | 0.3511 | 0.3511 | 0.3074 | 0.3074 |
| MS-MIDAS-RV | 0.0643 | 0.0374 | 0.0828 | 0.0496 |
| MS-MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel C: h = 20 | ||||
| MIDAS-RV | 0.6208 | 0.5123 | 0.6254 | 0.5210 |
| MIDAS-RV-OVX | 0.6208 | 0.5123 | 0.6254 | 0.5210 |
| MS-MIDAS-RV | 0.2661 | 0.2269 | 0.2460 | 0.2197 |
| MS-MIDAS-RV-OVX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
Notes: This table exhibits models’ MCS p-values with alternative realized measures (RK). The forecasts for different horizons h = 1, 5 and 20 are shown in Panel A, B, C. In this table, the MCS test p-value of 1indicates a better prediction.