Page 110 - Contributed Paper Session (CPS) - Volume 6

CPS1837 Qiguang Dong et al.
Table 2 ARFIMA models.

M RV M LnRV
M1 RV-sGARCH-norm M19 LnRV-sGARCH-norm
M2 RV-sGARCH-std M20 LnRV-sGARCH-std

M3 RV-sGARCH-ged M21 LnRV-sGARCH-ged
M4 RV-sGARCH- M22 LnRV-sGARCH-
snorm snorm
M5 RV-sGARCH-sstd M23 LnRV-sGARCH-sstd
M6 RV-sGARCH-sged M24 LnRV-sGARCH-sged

M7 RV-eGARCH-norm M25 LnRV-eGARCH-norm
M8 RV-eGARCH-std M26 LnRV-eGARCH-std
M9 RV-eGARCH-ged M27 LnRV-eGARCH-ged

M10 RV-eGARCH- M28 LnRV-eGARCH-
snorm snorm
M11 RV-eGARCH-sstd M29 LnRV-eGARCH-sstd
M12 RV-eGARCH-sged M30 LnRV-eGARCH-sged
M13 RV-gjrGARCH- M31 LnRV-gjrGARCH-
norm norm
M14 RV-gjrGARCH-std M32 LnRV-gjrGARCH-std
M15 RV-gjrGARCH-ged M33 LnRV-gjrGARCH-ged

M16 RV-gjrGARCH- M34 LnRV-gjrGARCH-
snorm snorm
M17 RV-gjrGARCH-sstd M35 LnRV-gjrGARCH-sstd

M18 RV- M36 LnRV-gjrGARCH-
gjrGARCH- sged
sged
Table 3 MCS test results based on ARFIMA models.
2
MSE HMSE MAE HMAE QLIKE R LOG

M1 0 0 0 0 0 0 0 0 0 0 0 0
M2 0 0 0 0 0 0 0 0 0 0 0 0
M3 0 0 0 0 0 0 0 0 0 0 0 0

M4 0 0 0 0 0 0 0 0 0 0 0 0
M5 0 0 0 0 0 0 0 0 0 0 0 0
M6 0 0 0 0 0 0 0 0 0 0 0 0
M7 0 0 0 0 0 0 0 0 0 0 0 0

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