Research on the Influence of Volatility of International Energy Commodity Futures Market on CPI in China

Table 1

RJ/CRB International Commodity Futures Index: the goodness of fit and in-sample and out-of-sample prediction accuracy at different lag orders.

Model	Index	Lag order
		13	20	25	30	35	40
Beta-MIDAS	R^2	0.8629	0.8629	0.8629	0.8630	0.8675	0.8680
	RMSE	0.6430	0.6407	0.6430	0.6445	0.6300	0.6359
	MSFE	0.4134	0.4105	0.4134	0.4154	0.3969	0.4044
	DMSFE	0.1044	0.1041	0.1044	0.1046	0.1026	0.1044
Beta-nonzero-MIDAS	R^2	0.8628	0.8631	0.8633	0.8633	0.8677	0.8675
	RMSE	0.6382	0.6408	0.6421	0.6458	0.6331	0.6327
	MSFE	0.4073	0.4107	0.4123	0.4171	0.4009	0.4003
	DMSFE	0.1032	0.1042	0.1047	0.1053	0.1034	0.1031
Exp Almon-MIDAS	R^2	0.8629	0.8629	0.8629	0.8629	0.8675	0.8675
	RMSE	0.6429	0.6429	0.6429	0.6429	0.6324	0.6324
	MSFE	0.4133	0.4133	0.4133	0.4133	0.4000	0.4000
	DMSFE	0.1044	0.1044	0.1044	0.1044	0.1031	0.1031
U-MIDAS	R^2	0.8908	0.8937	0.9011	0.9038	0.9120	0.9201
	RMSE	0.7368	0.7863	0.8514	0.8703	0.8488	0.8936
	MSFE	0.5429	0.6183	0.7249	0.7575	0.7204	0.7986
	DMSFE	0.1336	0.1412	0.1661	0.1773	0.1826	0.1799
Stepfun-MIDAS	R^2	0.8796	0.8803	0.8858	0.8852	0.8897	0.8916
	RMSE	0.7100	0.7160	0.7483	0.7358	0.7004	0.7181
	MSFE	0.5041	0.5127	0.5600	0.5414	0.4906	0.5156
	DMSFE	0.1370	0.1348	0.1463	0.1459	0.1470	0.1487
Almon-MIDAS	R^2	0.8716	0.8682	0.8717	0.8695	0.8751	0.8750
	RMSE	0.5046	0.5868	0.7108	0.6905	0.6276	0.5997
	MSFE	0.2546	0.3443	0.5052	0.4768	0.3939	0.3597
	DMSFE	0.0868	0.0942	0.1342	0.1319	0.1216	0.1068