Research Article
[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model
Table 4
The MCS tests of GARCH-MIDAS model.
| | Loss function | MSE | MAE | MSD | MAD | QLIKE | Rank_M |
| | GARCH-MIDAS (rAVGRV) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV) | 0.845 | 0.793 | 0.845 | 0.762 | 0.813 | 2 | | GARCH-MIDAS (rAVGRV + MCI) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV + MCI) | 0.743 | 0.803 | 0.790 | 0.746 | 0.802 | 2 | | GARCH-MIDAS (rAVGRV + IVA) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV + IVA) | 0.751 | 0.698 | 0.821 | 0.792 | 0.880 | 2 | | GARCH-MIDAS (rAVGRV + M2) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV + M2) | 0.797 | 0.813 | 0.796 | 0.808 | 0.779 | 2 | | GARCH-MIDAS (rAVGRV + DFI) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV + DFI) | 0.862 | 0.787 | 0.794 | 0.838 | 0.745 | 2 | | GARCH-MIDAS (rAVGRV + CEPU) | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1 | | GARCH-MIDAS (RV + CEPU) | 0.812 | 0.799 | 0.852 | 0.884 | 0.802 | 2 |
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Notes: numbers in the table indicate the values of the MCS test based on different loss functions. Rank_M indicates the ranking of the model. |
