Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

Table 6

In-sample forecast statistics.

		MAE	MAPE	RMSE	HRMSE	Theil coefficient
𝐻=1	HAR-CJ-M	0.4352	1.6175	0.5641	0.6006	0.2228
	HAR-ARV	0.4674	1.9335	0.6083	0.6856	0.2425
	HAR-CJ	0.4530	1.5980	0.5913	0.6731	0.2346
𝐻=5	HAR-CJ-M	0.4437	4.3431	0.4037	0.4984	0.1469
	HAR-ARV	0.6015	5.3230	0.4518	0.9004	0.1660
	HAR-CJ	0.5514	4.4688	0.4368	0.7801	0.1609
𝐻=22	HAR-CJ-M	0.5700	4.7136	0.7002	0.5000	0.2579
	HAR-ARV	0.6514	6.5020	0.7896	0.5266	0.2897
	HAR-CJ	0.6174	5.9764	0.7466	0.5152	0.2742