Comparing the predictive performance of different forecasting models for a 12-year sample period of nine worldwide indexes based on the average scores and , scaled by for presentation purpose, respectively, along with the corresponding model ranks (in parentheses).
Part A
Normal-ES
G-ES
Gumbel-ES
CSI300
0.2192 (3)
0.2148 (1)
0.2150 (2)
SHSCI
0.2148 (3)
0. (2)
0. (1)
SZSCI
0.2313 (3)
0.2271 (1)
0.2276 (2)
S&P500
0.1775 (3)
(2)
(1)
DJIA
0.1696 (3)
0.1663 (1)
0.1665 (2)
NASDAQ
0.1868 (3)
0.1826 (1)
0.1829 (2)
CAC40
0.1866 (3)
0.1849 (1)
0.1860 (2)
FTSE100
0.1701 (3)
0.1682 (1)
0.1683 (2)
DAX
0.1849 (3)
0.1829 (1)
0.1830 (2)
Part B
CSI300
−3.0563 (3)
−3.1223 (1)
−3.1221 (2)
SHSCI
−3.0845 (3)
−3.1617 (2)
−3.1676 (1)
SZSCI
−2.9043 (3)
−2.9747 (2)
−2.9768 (1)
S&P500
−3.4161 (3)
−3.5173 (2)
−3.5290 (1)
DJIA
−3.5224 (3)
−3.6046 (2)
−3.6122 (1)
NASDAQ
−3.3176 (3)
−3.4112 (2)
−3.4166 (1)
CAC40
−3.3588 (3)
−3.4034 (1)
−3.3933 (2)
FTSE100
−3.5474 (3)
−3.5995 (1)
−3.5967 (2)
DAX
−3.3801 (3)
−3.4264 (1)
−3.4226 (2)
Note. Before rounding off, the number is 0.21004, ∗∗the number is 0.21002, the number is 0.17310, and the number is 0.17307.
