Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps

Table 4

The SPA test results of in-sample forecasts.

	MAE	HMAE	MSE	HMSE	QLIKE	𝑅^2LOG
SV	0.0780	0.2056	0.1330	0.0538	0.1882	0.7944
SV-RV	0.0408	0.8562	0.1382	0.0648	0.3784	0.5798
SV-CJ	0.5816	0.5456	0.6730	0.6412	0.7220	0.2504

Numerical values in the table represent 𝑃 value of SPA test obtained by 5000 Bootstrap simulation; the larger the 𝑃 value, the stronger the in-sample predictive accuracy of the baseline model, compared with the other two comparison models. The bold part is the maximum 𝑃 value of each model’s SPA test.