Table 6.
Results of the out-of-sample R2.
| Equity index | Country/Region | Observations | ROOS2(%) | MSPE-Adj. | p-value |
|---|---|---|---|---|---|
| Panel A: HAR-RV-VIX model | |||||
| AEX | The Netherlands | 5021 | 0.6493 | 3.2810 | 0.0005 |
| All Ordinaries | Australia | 4975 | −0.4939 | −3.4629 | 0.9997 |
| BOVESPA | Brazil | 4853 | 0.3861 | 4.3145 | 0.0000 |
| CAC 40 | France | 5022 | 1.3234 | 4.2464 | 0.0000 |
| FTSE MIB | Italy | 2675 | 1.3608 | 4.6644 | 0.0000 |
| FTSE 100 | United Kingdom | 4998 | −2.0717 | −3.5346 | 0.9998 |
| DAX 30 | Germany | 4998 | 1.9008 | 4.6974 | 0.0000 |
| S&P TSX | Canada | 4392 | 1.2425 | 4.1212 | 0.0000 |
| Hang Seng | China Hong Kong | 4829 | −0.5093 | −1.2285 | 0.8904 |
| IBEX 35 | Spain | 4913 | 3.0327 | 2.2614 | 0.0119 |
| KOSPI | South Korea | 4822 | −1.0758 | −3.6138 | 0.9998 |
| IPC Mexico | Mexico | 4938 | −1.4267 | −3.6588 | 0.9999 |
| Nikkei 225 | Japan | 4754 | 0.6619 | 4.0165 | 0.0000 |
| S&P CNX Nifty | India | 4841 | −0.0818 | −1.9825 | 0.9763 |
| S&P 500 | United States | 5063 | 5.7365 | 3.0442 | 0.0012 |
| SSEC | China | 4719 | −0.2456 | −4.3178 | 1.0000 |
| Swiss Market Index | Switzerland | 4941 | 0.2175 | 2.2232 | 0.0131 |
| FT Straits Times | Singapore | 1102 | 0.4771 | 1.5678 | 0.0585 |
| Euro STOXX 50 | Euro Area | 5026 | 1.4361 | 4.1946 | 0.0000 |
| Panel B: HAR-RV-EPU model | |||||
| AEX | The Netherlands | 5021 | 0.0595 | 2.5006 | 0.0062 |
| All Ordinaries | Australia | 4975 | 0.0802 | 1.7709 | 0.0383 |
| BOVESPA | Brazil | 4853 | 0.1569 | 2.1467 | 0.0159 |
| CAC 40 | France | 5022 | 0.0624 | 2.8823 | 0.0020 |
| FTSE MIB | Italy | 2675 | 0.0707 | 2.6608 | 0.0039 |
| FTSE 100 | United Kingdom | 4998 | 0.0666 | 1.2367 | 0.1081 |
| DAX 30 | Germany | 4998 | 0.0699 | 2.5268 | 0.0058 |
| S&P TSX | Canada | 4392 | 0.0736 | 2.2895 | 0.0110 |
| Hang Seng | China Hong Kong | 4829 | 0.2159 | 2.6505 | 0.0040 |
| IBEX 35 | Spain | 4913 | −0.6678 | −1.6422 | 0.9497 |
| KOSPI | South Korea | 4822 | −0.0253 | −1.5701 | 0.9418 |
| IPC Mexico | Mexico | 4938 | 0.1349 | 1.2222 | 0.1108 |
| Nikkei 225 | Japan | 4754 | 0.0462 | 2.6690 | 0.0038 |
| S&P CNX Nifty | India | 4841 | −0.0001 | −0.2359 | 0.5933 |
| S&P 500 | United States | 5063 | 0.1620 | 0.9542 | 0.1700 |
| SSEC | China | 4719 | 0.1086 | 1.6075 | 0.0540 |
| Swiss Market Index | Switzerland | 4941 | 0.0387 | 2.0744 | 0.0190 |
| FT Straits Times | Singapore | 1102 | −0.0278 | −1.5101 | 0.9345 |
| Euro STOXX 50 | Euro Area | 5026 | 0.1174 | 2.3850 | 0.0085 |
Notes: Columns 1–3 report equity index, country or region and observations, columns 4–6 display the ROOS2, MSPE-adjusted statistic and p-value, respectively. If the Roos2 is larger than zero, implying that corresponding model outperform the benchmark model. For each equity index, forecasts range from December 1, 2019 to March 25, 2020.