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

Table 7

Out-of-sample Forecast Statistics.

		MAE	MAPE	RMSE	HRMSE	Theil coefficient
𝐻=1	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
𝐻=5	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
𝐻=22	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