Table 8.
Results of the MCS test based on recursive window.
| Forecasting models | QLIKE |
MSE |
||
|---|---|---|---|---|
| Range | SeimQ | Range | SeimQ | |
| Panel A: AEX | ||||
| HAR-RV | 0.0236 | 0.0116 | 0.0225 | 0.0101 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0236 | 0.0134 | 0.0225 | 0.0125 |
| Panel B: All Ordinaries | ||||
| HAR-RV | 0.1454 | 0.1454 | 0.1202 | 0.1202 |
| HAR-RV-VIX | 0.0201 | 0.0181 | 0.0327 | 0.0279 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel C: BOVESPA | ||||
| HAR-RV | 0.0054 | 0.0056 | 0.0147 | 0.0108 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0256 | 0.0256 | 0.0237 | 0.0237 |
| Panel D: CAC 40 | ||||
| HAR-RV | 0.0131 | 0.0083 | 0.0068 | 0.0044 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0131 | 0.0083 | 0.0068 | 0.0044 |
| Panel E: FTSE MIB | ||||
| HAR-RV | 0.0055 | 0.0044 | 0.0061 | 0.0050 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0055 | 0.0044 | 0.0061 | 0.0050 |
| Panel F: FTSE 100 | ||||
| HAR-RV | 0.1154 | 0.1154 | 0.2506 | 0.2506 |
| HAR-RV-VIX | 0.0181 | 0.0116 | 0.0234 | 0.0175 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel G: DAX 30 | ||||
| HAR-RV | 0.0072 | 0.0061 | 0.0063 | 0.0053 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0072 | 0.0061 | 0.0063 | 0.0053 |
| Panel H: S&P TSX | ||||
| HAR-RV | 0.0141 | 0.0142 | 0.0105 | 0.0112 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0141 | 0.0142 | 0.0105 | 0.0112 |
| Panel I: Hang Seng | ||||
| HAR-RV | 0.0148 | 0.0401 | 0.0413 | 0.0754 |
| HAR-RV-VIX | 0.0148 | 0.0401 | 0.0413 | 0.0754 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel J: IBEX 35 | ||||
| HAR-RV | 0.0667 | 0.0784 | 0.0766 | 0.0766 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0600 | 0.0784 | 0.0524 | 0.0441 |
| Panel K: KOSPI | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.0226 | 0.0115 | 0.0358 | 0.0220 |
| HAR-RV-EPU | 0.0942 | 0.0942 | 0.1364 | 0.1364 |
| Panel L: IPC Mexico | ||||
| HAR-RV | 0.3014 | 0.3014 | 0.2563 | 0.2563 |
| HAR-RV-VIX | 0.0061 | 0.0051 | 0.0182 | 0.0176 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel M: Nikkei 225 | ||||
| HAR-RV | 0.0024 | 0.0014 | 0.0137 | 0.0082 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0024 | 0.0015 | 0.0137 | 0.0082 |
| Panel N: S&P CNX Nifty | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.1420 | 0.0847 | 0.1981 | 0.1055 |
| HAR-RV-EPU | 0.2123 | 0.2123 | 0.1981 | 0.1858 |
| Panel O: S&P 500 | ||||
| HAR-RV | 0.0285 | 0.0150 | 0.0671 | 0.0441 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0285 | 0.0161 | 0.0671 | 0.0441 |
| Panel P: SSEC | ||||
| HAR-RV | 0.0798 | 0.0798 | 0.1332 | 0.1332 |
| HAR-RV-VIX | 0.0069 | 0.0085 | 0.0046 | 0.0064 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel Q: Swiss Market Index | ||||
| HAR-RV | 0.1010 | 0.0413 | 0.1133 | 0.0497 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.1010 | 0.0860 | 0.1133 | 0.1021 |
| Panel R: FT Straits Times | ||||
| HAR-RV | 0.3032 | 0.1995 | 0.3347 | 0.3347 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.3032 | 0.1668 | 0.3314 | 0.2610 |
| Panel S: Euro STOXX 50 | ||||
| HAR-RV | 0.0045 | 0.0031 | 0.0066 | 0.0048 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0045 | 0.0031 | 0.0066 | 0.0048 |
Notes: For each equity index, out-of-sample evaluation period ranges from December 1, 2019 to March 25, 2020.