Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 10

SPA test for HAR-RV-JCOV and HAR-RV-JCOV-SJCOV-D control models.

Loss function	MSE	MAE	HMSE	HMAE	QLIKE	RLOG
Base model
MJSJS	0.677	0.754	0.856	0.875	0.679	0.752
MJS	0.322	0.260	0.118	0.146	0.291	0.252
MJSJF	0.543	0.805	0.466	0.397	0.517	0.547
MJF	0.009	0.198	0.005	0.159	0.013	0.008
MJSJMA	0.847	0.094	0.532	0.155	0.893	0.570
MJMA	0.136	0.923	0.065	0.817	0.101	0.087
MJSJEL	0.389	0.123	0.503	0.255	0.455	0.580
MJEL	0.605	0.506	0.105	0.770	0.533	0.363
MJSJFI	0.783	0.383	0.788	0.488	0.861	0.810
MJFI	0.181	0.618	0.206	0.496	0.157	0.166
MJSJEN	0.449	0.787	0.478	0.866	0.471	0.463
MJEN	0.068	0.188	0.011	0.102	0.054	0.051
MJSJCO	0.508	0.069	0.613	0.0101	0.504	0.677
MJCO	0.514	0.609	0.039	0.883	0.485	0.306
MJSJME	0.000	0.000	0.000	0.000	0.000	0.000
MJME	0.245	0.228	0.232	0.263	0.240	0.200

Note: MS, MF, MMA, MEL, MFI, MEN, MCO, and MME represent the HAR-RV models for the CSI 300 stock index, the futures index, and the material, telecommunication, financial, energy, consumption, and medicine indices, respectively, and MSJS, MSJF, MSJMA, MSJEL, MSJFI, MSJEN, MSJCO, and MSJME represent the CSI 300 HAR-RV-JCOV-SJCOV-D models for stock, futures, and sector indices of material, telecommunication, financial, energy, consumption, and medicines, respectively, and the figures in the table represent the values of the SPA tests.