Table 12.
Results of the MCS test before coronavirus.
| Forecasting models | QLIKE |
MSE |
||
|---|---|---|---|---|
| Range | SeimQ | Range | SeimQ | |
| Panel A: AEX | ||||
| HAR-RV | 0.0241 | 0.0207 | 0.0416 | 0.0291 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0241 | 0.0207 | 0.0416 | 0.0291 |
| Panel B: All Ordinaries | ||||
| HAR-RV | 0.0015 | 0.0011 | 0.0011 | 0.0007 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0015 | 0.0011 | 0.0011 | 0.0003 |
| Panel C: BOVESPA | ||||
| HAR-RV | 0.6928 | 0.6579 | 0.9672 | 0.9586 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.7676 | 0.7676 | 0.9672 | 0.9586 |
| Panel D: CAC 40 | ||||
| HAR-RV | 0.0532 | 0.0462 | 0.0935 | 0.0799 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0532 | 0.0462 | 0.0935 | 0.0799 |
| Panel E: FTSE MIB | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.8247 | 0.8051 | 0.5331 | 0.4095 |
| HAR-RV-EPU | 0.9783 | 0.9783 | 0.5331 | 0.4211 |
| Panel F: FTSE 100 | ||||
| HAR-RV | 0.0175 | 0.0150 | 0.0171 | 0.0151 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0175 | 0.0150 | 0.0171 | 0.0151 |
| Panel G: DAX 30 | ||||
| HAR-RV | 0.4159 | 0.3459 | 0.4681 | 0.3611 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.4159 | 0.3459 | 0.4681 | 0.3303 |
| Panel H: S&P TSX | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.0102 | 0.0088 | 0.0172 | 0.0168 |
| HAR-RV-EPU | 0.1487 | 0.1487 | 0.1432 | 0.1432 |
| Panel I: Hang Seng | ||||
| HAR-RV | 0.0939 | 0.0797 | 0.0477 | 0.0415 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0939 | 0.0797 | 0.0477 | 0.0415 |
| Panel J: IBEX 35 | ||||
| HAR-RV | 0.1697 | 0.1463 | 0.2437 | 0.2165 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.1697 | 0.1463 | 0.2437 | 0.2165 |
| Panel K: KOSPI | ||||
| HAR-RV | 0.4555 | 0.4352 | 0.3997 | 0.3589 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.4555 | 0.4352 | 0.3997 | 0.3589 |
| Panel L: IPC Mexico | ||||
| HAR-RV | 0.0054 | 0.0038 | 0.0083 | 0.0050 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0054 | 0.0038 | 0.0083 | 0.0050 |
| Panel M: Nikkei 225 | ||||
| HAR-RV | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-VIX | 0.1077 | 0.2553 | 0.0193 | 0.0581 |
| HAR-RV-EPU | 0.1077 | 0.2553 | 0.0193 | 0.0581 |
| Panel N: S&P CNX Nifty | ||||
| HAR-RV | 0.1635 | 0.1635 | 0.1187 | 0.1187 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.1206 | 0.1344 | 0.0953 | 0.1111 |
| Panel O: S&P 500 | ||||
| HAR-RV | 0.8411 | 0.7990 | 0.3665 | 0.3451 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.8411 | 0.7990 | 0.3665 | 0.3451 |
| Panel P: SSEC | ||||
| HAR-RV | 0.4311 | 0.2972 | 0.3021 | 0.3109 |
| HAR-RV-VIX | 0.4311 | 0.3873 | 0.5627 | 0.5627 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel Q: Swiss Market Index | ||||
| HAR-RV | 0.0023 | 0.0016 | 0.0042 | 0.0034 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.0023 | 0.0016 | 0.0042 | 0.0027 |
| Panel R: FT Straits Times | ||||
| HAR-RV | 0.5591 | 0.5446 | 0.5267 | 0.4852 |
| HAR-RV-VIX | 0.5591 | 0.5446 | 0.5267 | 0.4852 |
| HAR-RV-EPU | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| Panel S: Euro STOXX 50 | ||||
| HAR-RV | 0.3299 | 0.2609 | 0.1629 | 0.1340 |
| HAR-RV-VIX | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| HAR-RV-EPU | 0.3299 | 0.2301 | 0.1629 | 0.1103 |
Notes: In this table, we set the same forecast window as the period of coronavirus crisis for each equity index.