Table 7.
Forecast evaluation using Clark and West test
| In-sample | Out-of-sample | ||
|---|---|---|---|
| h = 30 | h = 60 | ||
| Palladium | |||
| Full sample | 0.3383*** (0.0481) [7.0396] | 0.3364*** (0.0478) [7.0332] | 0.3384*** (0.0476) [7.1040] |
| Pre-COVID | 0.3927*** (0.0569) [6.9010] | 0.3931*** (0.0567) [6.9386] | 0.3957*** (0.0564) [7.0182] |
| Post-COVID | 2.9112* (1.5511) [1.8769] | 2.8054** (1.3859) [2.0243] | 2.6173** (1.2514) [2.0916] |
| Platinum | |||
| Full sample | 0.0736** (0.0301) [2.4477] | 0.0742** (0.0299) [2.4785] | 0.0734** (0.0298) [2.4609] |
| Pre-COVID | 0.0599* (0.0331) [1.8085] | 0.0604* (0.0330) [1.8326] | 0.0595* (0.0328) [1.8135] |
| Post-COVID | 2.0805** (1.0209) [2.0379] | 0.0742** (0.0299) [2.4785] | 2.1824** (0.8643) [2.5251] |
| Silver | |||
| Full sample | 0.8496*** (0.0971) [0.0971] | 0.8508*** (0.0966) [8.8043] | 0.8457*** (0.0962) [8.7933] |
| Pre-COVID | 0.7921*** (0.0965) [8.2063] | 0.7921*** (0.0962) [8.2335] | 0.7878*** (0.0957) [8.2293] |
| Post-COVID | 0.8739* (2.8652) [0.3050] | 1.1383* (2.5710) [0.4427] | 1.2966* (2.3221) [0.5584] |
The rejection of the null hypothesis implies the preference for the uncertainty-based model for gold returns, otherwise, it is not preferred to the benchmark model. The null hypothesis of a zero coefficient is rejected if this statistic is greater than + 1.282 (for a one sided 0.10 test), + 1.645 (for a one sided 0.05 test) and + 2.00 for 0.01 test (for a one sided 0.01 test) (see Clark and West 2007). Values in parentheses—() denote standard errors while those reported in square brackets—[] are for t-statistics
***, **, *Imply the rejection of the null hypothesis of equal forecast accuracy at 1%, 5%, 10% levels of significance, respectively