Forecasting Volatility with Time-Varying Coefficient Regressions
Table 4
Portfolio performance measures, 2006-10-9 to 2018-4-23.
HAR-RV
LHAR-RV
HAR-RV-J
LHAR-RV-OR
AHAR-RV
HAR-RV-V
HAR-RV-ALL
γ = 3
R
CC
7.490
24.279
6.397
6.863
16.840
7.451
25.420
MRS
7.683
24.858
6.427
7.143
16.871
7.161
25.882
TVC
7.799
24.891
6.795
7.214
17.068
7.812
26.079
CER
CC
6.931
23.549
5.780
6.228
16.152
6.853
24.465
MRS
6.994
24.109
5.787
6.245
16.309
6.501
24.509
TVC
7.213
24.160
6.172
6.573
16.384
7.206
25.108
γ = 6
R
CC
4.996
15.826
4.487
4.721
9.970
4.975
16.713
MRS
5.130
16.125
4.593
4.895
10.019
4.700
17.702
TVC
5.167
16.150
4.666
4.901
10.076
5.159
17.905
CER
CC
4.711
15.379
4.176
4.401
9.612
4.765
16.130
MRS
4.770
15.447
4.336
4.562
9.682
4.594
16.302
TVC
4.877
15.700
4.352
4.578
9.724
4.856
17.203
This table reports the performance measures for an investor with the risk aversion coefficient of 3 or 6, and we show the mean of excess returns (R) and CER of the portfolios formed by the forecast of volatility.
