Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 9

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

Loss function	MSE	MAE	HMSE	HMAE	QLIKE	RLOG
Base model
MSJS	0.745	0.773	0.918	0.887	0.794	0.822
MS	0.244	0.210	0.102	0.125	0.218	0.173
MSJF	0.511	0.469	0.472	0.458	0.501	0.483
MF	0.008	0.094	0.001	0.077	0.002	0.007
MSJMA	0.894	0.114	0.559	0.207	0.591	0.598
MMA	0.108	0.898	0.057	0.782	0.098	0.064
MSJEL	0.462	0.080	0.494	0.163	0.578	0.676
MEL	0.550	0.549	0.079	0.849	0.468	0.297
MSJFI	0.733	0.255	0.744	0.307	0.799	0.791
MFI	0.276	0.755	0.230	0.713	0.203	0.211
MSJEN	0.471	0.904	0.480	0.933	0.452	0.470
MEN	0.045	0.080	0.012	0.050	0.025	0.013
MSJCO	0.621	0.069	0.638	0.124	0.629	0.755
MCO	0.405	0.588	0.046	0.873	0.383	0.224
MSJME	0.000	0.000	0.000	0.000	0.000	0.000
MME	0.226	0.259	0.203	0.261	0.228	0.223

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 medicine, respectively, and the figures in the table represent the values of the SPA tests.