Research Article
Forecasting Stock Market Volatility: A Combination Approach
Table 4
Out-of-sample forecasting results, rolling window.
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Note. The forecasting results for the predictive regression models in (3), (4), and (5) for monthly stock volatility. The table reports the out-of-sample , defined in the percent reduction of mean-squared predictive error (MSPE) of the interest models relative to that of the benchmark of AR (6). The values of Clark and West [45] (CW) tests for the equivalence of MSPEs between the interest models and the benchmark model are given in the parentheses. The asterisks , , and indicate rejections of null hypothesis at 10%, 5%, and 1% significance levels, respectively. |