Table 11.
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 | Palladium | 0.1309 (0.1059) [1.2357] |
0.1206 (0.0953) [1.2660] |
2.1448* (1.5472) [1.3862] |
1.8567* (1.4013) [1.3250] |
| Platinum | 48.2419* (30.8232) [1.5651] |
44.7887* (27.5875) [1.62352] |
55.9379* (36.5221) [1.5316] |
52.2739* (32.6786) [1.5996] |
|
| Silver | 0.6235*** (0.1811) [3.4428] |
0.5313*** (0.1645) [3.2301] |
3.4376*** (1.7101) [2.0102] |
3.3240*** (1.5398) [2.1587] |
|
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.