Forecasting Stock Market Volatility: A Combination Approach

Table 7

Out-of-sample forecasting results with different macroinformation.

Macrovariables	1998–2018		2003–2018		2008–2018
	Individual	Individual + VIX	Individual	Individual + VIX	Individual	Individual + VIX
cp	0.12	13.18	0.16	10.78	0.19	12.88
dfr	−0.15	13.06	−0.12	10.50	−0.20	12.68
dfy	0.45	13.60	0.58	11.02	0.67	13.10
exret	0.11	13.09	0.18	10.88	0.22	12.68
ip	0.67	13.77	0.69	11.10	0.75	13.17
ipvol	1.03	14.04	1.12	11.65	1.22	13.89
npv	0.38	13.56	0.45	11.05	0.56	12.97
ppivol	0.22	13.24	0.30	10.88	0.36	12.86
tms	0.32	13.35	0.40	10.97	0.45	12.91
hs	0.62	13.67	0.66	11.14	0.72	13.12
mkt	0.47	13.60	0.50	11.05	0.55	13.06
VIX	12.98	—	10.41	—	12.32	—

Note. This table reports the forecasting results for the predictive regression models in (9) and (10) for monthly stock volatility. The table reports the out-of-sample , defined in the percent reduction of the mean-squared predictive error (MSPE) of the interest models relative to that of the benchmark of AR (6). The values of Clark and West [45] (CW) tests for the equivalence of MSPEs between the interest models and the benchmark model are given in the parentheses. The asterisks , , and indicate rejections of null hypothesis at 10%, 5%, and 1% significance levels, respectively.