GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China

Table 5

Statistics of in-sample predictive power evaluation index.

	Residual following Gaussian distribution				Residual following 𝑡 distribution
	MAE	HMAE	RMSE	HRMSE	MAE	HMAE	RMSE	HRMSE
GARCH	2.7463	0.9407	6.1528	1.2807	2.8447	0.9643	6.1921	1.3061
GARCH-RV	2.7329	0.9099	5.8897	1.4140	2.8234	0.9428	5.9979	1.4902
GARCH-CJ	2.5880	0.8296	5.7739	1.1701	2.6306	0.8407	5.7581	1.1966
EGARCH	2.7051	0.9258	6.1524	1.2666	2.8544	0.9582	6.2123	1.3075
EGARCH-RV	2.5862	0.8383	5.9059	1.1755	2.6549	0.8600	5.9339	1.2134
EGARCH-CJ	2.5143	0.8156	6.0180	1.1164	2.6222	0.8445	6.0682	1.1671
CJR	2.7088	0.9249	6.1899	1.2645	2.8155	0.9466	6.2264	1.2905
CJR-RV	2.5851	0.8657	5.8593	1.2567	2.6234	0.8756	5.8409	1.2858
CJR-CJ	2.5550	0.8145	5.7933	1.1479	2.6015	0.8257	5.7778	1.1748