Research Article
Forecasting Stock Market Volatility: A Combination Approach
Table 6
Out-of-sample forecasting results with different lag lengths.
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Note. This table reports the forecasting results for the predictive regression models for monthly stock volatility with the alternative lag orders: 2, 4, 6, and 8 where the out-of-sample period is 2003 : 01–2018 : 12. The table reports the out-of-sample , defined in the percent reduction of the mean-squared predictive error (MSPE) of the interest models relative to that of the benchmark of AR (). 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. |