Research Article
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Table 7
Out-of-sample Forecast Statistics.
| ā | ā | MAE | MAPE | RMSE | HRMSE | Theil coefficient |
| | HAR-CJ-M | 0.4623 | 2.9898 | 0.6273 | 0.4201 | 0.5489 | HAR-ARV | 0.5129 | 4.9047 | 0.6826 | 0.4501 | 0.9499 | HAR-CJ | 0.4793 | 3.3916 | 0.6600 | 0.4338 | 0.5869 | | HAR-CJ-M | 0.4886 | 6.5385 | 0.6361 | 0.2202 | 0.5135 | HAR-ARV | 0.5446 | 4.3915 | 0.7162 | 0.2932 | 0.6501 | HAR-CJ | 0.4966 | 4.4688 | 0.6615 | 0.2484 | 0.5522 | | HAR-CJ-M | 0.5713 | 12.093 | 0.7168 | 0.4258 | 0.5137 | HAR-ARV | 0.6524 | 12.249 | 0.8089 | 0.4852 | 0.6075 | HAR-CJ | 0.6380 | 12.133 | 0.7652 | 0.4432 | 0.5245 |
|
|