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

Table 6

Statistics of out-of-sample predictive power evaluation index.

	Residual following Gaussian distribution				Residual following 𝑡 distribution
	MAE	HMAE	RMSE	HRMSE	MAE	HMAE	RMSE	HRMSE
GARCH	1.1044	1.0219	1.4174	1.2949	1.0789	0.9980	1.3689	1.2693
GARCH-RV	1.0533	0.9314	1.3858	1.1903	1.0719	0.9418	1.3743	1.2086
GARCH-CJ	0.9690	0.8368	1.3377	1.0546	0.9717	0.8211	1.3529	1.0295
EGARCH	1.2632	1.1594	1.4958	1.4401	1.1376	1.0481	1.4418	1.3155
EGARCH-RV	1.0578	0.9539	1.4287	1.2637	1.0541	0.9387	1.4341	1.2548
EGARCH-CJ	1.0130	0.8897	1.4067	1.1672	1.0212	0.8741	1.3940	1.1505
CJR	1.1685	1.0884	1.4006	1.3629	0.9992	0.9218	1.3649	1.1777
CJR-RV	1.0270	0.9330	1.3272	1.2248	1.0131	0.9099	1.3327	1.1913
CJR-CJ	0.9629	0.8521	1.3085	1.0939	0.9490	0.8155	1.3171	1.0385