Table 5.

In-Sample Forecast evaluation.

	Pre-COVID Announcement		Post-COVID Announcement
	Model 1	Model 2	Model 1	Model 2
RMSE	0.3460	0.7565	1.0392	1.4982
MAD	0.5000	0.5570	0.9193	0.9708
MAPE	801.252	2160.096	1255.636	758.942
Clark & West	–	0.2099*** (0.0710) [2.9535]	–	1.2478*** (0.5252) [2.3760]

Note: Model 1 incorporates the Uncertainty (VIX) predictor while Model 2 is the Historical Average model. Thus, the former is the unrestricted model while the latter is the restricted model. RMSE is Root Mean Square Error; MAD is Mean Absolute Deviation & MAPE is Mean Absolute Percentage Error. The results for the Clark & West are reported for the model under the null (i.e. Model 2). The RMSE reported for Model 1 is the version of Clark and West (2007) which adjusts the difference in mean squared prediction errors to account for the additional predictors in the model. *** and ** & * imply the rejection of the null hypothesis of equal forecast accuracy at 1%, 5% & 10% levels of significance, respectively. 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 & West, 2007). Values in parentheses - () denote standard errors while those reported in square brackets – [] are for t-statistics.