Research Article
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.
| ā | Residual following Gaussian distribution | Residual following 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 |
|
|