Table 9.
Results of the MCS test based on RK.
| Forecasting models | QLIKE |
MSE |
||
|---|---|---|---|---|
| Range | SeimQ | Range | SeimQ | |
| Panel A: AEX | ||||
| HAR-RV | 0.0116 | 0.0067 | 0.0137 | 0.0068 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0116 | 0.0067 | 0.0137 | 0.0078 |
| Panel B: All Ordinaries | ||||
| HAR-RV | 0.1258 | 0.1258 | 0.1120 | 0.1120 |
| HAR-RV-VIX | 0.0252 | 0.0195 | 0.0370 | 0.0297 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel C: BOVESPA | ||||
| HAR-RV | 0.0119 | 0.0183 | 0.0279 | 0.0394 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.3131 | 0.3131 | 0.4735 | 0.4735 |
| Panel D: CAC 40 | ||||
| HAR-RV | 0.0078 | 0.0053 | 0.0072 | 0.0046 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0078 | 0.0053 | 0.0072 | 0.0046 |
| Panel E: FTSE MIB | ||||
| HAR-RV | 0.0063 | 0.0044 | 0.0052 | 0.0040 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0063 | 0.0044 | 0.0052 | 0.0040 |
| Panel F: FTSE 100 | ||||
| HAR-RV | 0.1401 | 0.3183 | 0.2644 | 0.4602 |
| HAR-RV-VIX | 0.1401 | 0.3183 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 0.9836 | 0.9836 |
| Panel G: DAX 30 | ||||
| HAR-RV | 0.0080 | 0.0053 | 0.0048 | 0.0036 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0080 | 0.0053 | 0.0048 | 0.0036 |
| Panel H: S&P TSX | ||||
| HAR-RV | 0.0218 | 0.0192 | 0.0354 | 0.0311 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0218 | 0.0192 | 0.0354 | 0.0311 |
| Panel I: Hang Seng | ||||
| HAR-RV | 0.0170 | 0.0693 | 0.0339 | 0.1140 |
| HAR-RV-VIX | 0.7207 | 0.7207 | 0.0339 | 0.1140 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel J: IBEX 35 | ||||
| HAR-RV | 0.5157 | 0.4569 | 0.9630 | 0.9630 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.5157 | 0.4569 | 0.1342 | 0.2939 |
| Panel K: KOSPI | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.0191 | 0.0093 | 0.0283 | 0.0162 |
| HAR-RV-EPU | 0.0674 | 0.0674 | 0.1391 | 0.1391 |
| Panel L: IPC Mexico | ||||
| HAR-RV | 0.6227 | 0.6227 | 0.5148 | 0.5148 |
| HAR-RV-VIX | 0.0014 | 0.0015 | 0.0047 | 0.0043 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel M: Nikkei 225 | ||||
| HAR-RV | 0.0060 | 0.0024 | 0.0107 | 0.0073 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0060 | 0.0030 | 0.0107 | 0.0073 |
| Panel N: S&P CNX Nifty | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.0962 | 0.0529 | 0.1569 | 0.0815 |
| HAR-RV-EPU | 0.1751 | 0.1751 | 0.1804 | 0.1804 |
| Panel O: S&P 500 | ||||
| HAR-RV | 0.0127 | 0.0063 | 0.0585 | 0.0414 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0127 | 0.0077 | 0.0585 | 0.0414 |
| Panel P: SSEC | ||||
| HAR-RV | 0.0316 | 0.0316 | 0.0590 | 0.0590 |
| HAR-RV-VIX | 0.0054 | 0.0036 | 0.0043 | 0.0024 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel Q: Swiss Market Index | ||||
| HAR-RV | 0.0141 | 0.0090 | 0.0117 | 0.0074 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0141 | 0.0090 | 0.0117 | 0.0074 |
| Panel R: FT Straits Times | ||||
| HAR-RV | 0.0080 | 0.0057 | 0.0102 | 0.0065 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0080 | 0.0031 | 0.0102 | 0.0041 |
| Panel S: Euro STOXX 50 | ||||
| HAR-RV | 0.0017 | 0.0013 | 0.0072 | 0.0045 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0017 | 0.0013 | 0.0072 | 0.0045 |
Notes: For each equity index, forecasts range from December 1, 2019 to March 25, 2020.