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

Table 6

The SPA test results of out-of-sample forecasts.

	MAE	HMAE	MSE	HMSE	QLIKE	𝑅^2LOG
SV	0.2324	0.0300	0.0256	0.8558	0.0616	0.1048
SV-RV	0.0262	0.0106	0.0248	0.0386	0.2538	0.0092
SV-CJ	0.7720	0.6616	0.7970	0.0208	0.8862	0.5442

Numerical values in the table represent the 𝑃 values of SPA test obtained by 5000 Bootstrap simulation; the larger the 𝑃 value, the stronger out-of-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.