143194.fig.003a
(a)
143194.fig.003b
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143194.fig.003c
(c)
Figure 3: (a) Comparison of the out-of-sample forecasting performance of the HAR-ARV, HAR-CJ, and HAR-CJ-M model (1 day). ARV represents the true volatility; HAR-ARV, HAR-CJ and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively. (b) Comparison of the out-of-sample forecasting performance of the HAR-ARV, HAR-CJ, and HAR-CJ-M model (1 week). ARV represents the true volatility; HAR-ARV, HAR-CJ, and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively. (c) Comparison of the out-of-sample forecasting performance of the HAR-ARV, HAR-CJ, and HAR-CJ-M model (1 month). ARV represents the true volatility; HAR-ARV, HAR-CJ, and HAR-CJ-M represent the forecast volatility of the HAR-ARV, HAR-CJ, and HAR-CJ-M models, respectively.