Forecasting Renminbi Exchange Rate Volatility Using CARR-MIDAS Model

Table 2

Estimation results.

Parameter	CARR	CARR-MIDAS
	0.0000 (0.0000)	−2.3302 (0.0255)
	—	0.4256 (0.0032)
	—	15.3240 (0.2479)
	0.2925 (0.0108)	0.4000 (0.0134)
	0.6693 (0.0104)	0.3717 (0.0160)
	0.9618	0.7716
Log-lik	22397.4605	22434.3209
AIC	−44788.9210	−44858.6417
BIC	−44770.2598	−44827.5397

Note: Log-lik is the log-likelihood, AIC is the Akaike information criterion, and BIC is the Bayesian information criterion. The numbers in parentheses are asymptotic standard errors for the model parameters.