Table 9.

Out-of-Sample Forecast evaluation.

	Pre-COVID Announcement		Post-COVID Announcement
	Mode1 1 vs Model 2		Mode1 1 vs Model 2
	h = 10	h = 20	h = 10	h = 20
Clark & West	0.9911*** (0.2410) [4.1132]	0.9052*** (0.2173) [4.1657]	15.9457*** (4.8775) [3.2692]	14.7262*** (4.3784) [3.3633]

Note: Model 1 incorporates the Uncertainty (VIX) predictor while Model 2 is the Historical Average. Thus, the former is the unrestricted model while the latter is the restricted 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). Two out-of-Sample forecast horizons are considered: 10-day & 20-day ahead forecast horizons. Values in parentheses – () denote standard errors while those reported in square brackets – [] are for t-statistics.