Country | RiskMetrics | EGARCH | EGARCH-V | EGARCH-LV | ||||||||
Panel A. Performance based on mean squared error (MSE) | ||||||||||||
| MSE | p-value | Rank | MSE | p-value | Rank | MSE | p-value | Rank | MSE | p-value | Rank |
France | 2.034 | 0.032 | 4 | 1.813 | 0.227 | 2 | 1.806 | 1.000 | 1 | 1.826 | 0.067 | 3 |
Germany | 1.763 | 0.053 | 4 | 1.580 | 0.457 | 2 | 1.575 | 1.000 | 1 | 1.583 | 0.068 | 3 |
Japan | 3.188 | 0.039 | 4 | 2.821 | 0.059 | 3 | 2.820 | 0.088 | 2 | 2.756 | 1.000 | 1 |
Netherlands | 1.926 | 0.037 | 4 | 1.695 | 1.000 | 1 | 1.719 | 0.089 | 3 | 1.695 | 0.645 | 1 |
Spain | 2.609 | 0.010 | 4 | 2.402 | 0.111 | 3 | 2.398 | 0.049 | 2 | 2.390 | 1.000 | 1 |
Switerlands | 1.051 | 0.071 | 4 | 0.886 | 0.067 | 2 | 0.887 | 0.071 | 3 | 0.871 | 1.000 | 1 |
UK | 1.149 | 0.022 | 4 | 1.016 | 1.000 | 1 | 1.017 | 0.428 | 2 | 1.017 | 0.120 | 3 |
USA | 1.200 | 0.063 | 4 | 1.028 | 1.000 | 1 | 1.037 | 0.531 | 3 | 1.033 | 0.888 | 2 |
China | 2.822 | 0.181 | 3 | 2.796 | 0.384 | 2 | 2.783 | 1.000 | 1 | 2.841 | 0.034 | 4 |
Colombia | 0.816 | 0.040 | 4 | 0.779 | 1.000 | 1 | 0.786 | 0.275 | 3 | 0.782 | 0.492 | 2 |
Hong Kong | 3.707 | 0.042 | 4 | 3.240 | 0.041 | 3 | 3.226 | 0.373 | 2 | 3.212 | 1.000 | 1 |
India | 3.188 | 0.042 | 4 | 2.820 | 0.057 | 2 | 2.820 | 0.085 | 2 | 2.756 | 1.000 | 1 |
Mexico | 1.145 | 0.035 | 4 | 1.047 | 0.261 | 2 | 1.039 | 1.000 | 1 | 1.062 | 0.299 | 3 |
South Korea | 1.716 | 0.037 | 4 | 1.546 | 1.000 | 1 | 1.565 | 0.120 | 3 | 1.564 | 0.106 | 2 |
Taiwan | 0.654 | 0.015 | 3 | 0.639 | 0.030 | 2 | 0.634 | 1.000 | 1 | 0.790 | 0.003 | 4 |
Turkey | 2.631 | 0.029 | 3 | 2.748 | 0.012 | 4 | 2.534 | 1.000 | 1 | 2.537 | 0.103 | 2 |
Panel B. Performance based on QLIKE | ||||||||||||
| QLIKE | p-value | Rank | QLIKE | p-value | Rank | QLIKE | p-value | Rank | QLIKE | p-value | Rank |
France | 1.529 | 0.000 | 4 | 1.430 | 0.455 | 3 | 1.428 | 1.000 | 1 | 1.429 | 0.531 | 2 |
Germany | 1.552 | 0.004 | 4 | 1.466 | 0.247 | 2 | 1.464 | 1.000 | 1 | 1.466 | 0.201 | 2 |
Japan | 1.532 | 0.002 | 4 | 1.450 | 0.120 | 3 | 1.432 | 1.000 | 1 | 1.441 | 0.291 | 2 |
Netherlands | 1.499 | 0.000 | 4 | 1.379 | 0.298 | 2 | 1.400 | 0.000 | 3 | 1.378 | 1.000 | 1 |
Spain | 1.481 | 0.000 | 4 | 1.386 | 0.071 | 3 | 1.385 | 0.066 | 2 | 1.382 | 1.000 | 1 |
Switerlands | 1.566 | 0.000 | 4 | 1.463 | 0.178 | 3 | 1.461 | 0.272 | 2 | 1.457 | 1.000 | 1 |
UK | 1.513 | 0.000 | 4 | 1.432 | 0.352 | 2 | 1.429 | 1.000 | 1 | 1.432 | 0.379 | 2 |
USA | 1.629 | 0.000 | 4 | 1.546 | 0.003 | 3 | 1.525 | 1.000 | 1 | 1.533 | 0.071 | 2 |
China | 1.595 | 0.069 | 4 | 1.594 | 0.032 | 3 | 1.576 | 1.000 | 1 | 1.583 | 0.364 | 2 |
Colombia | 1.749 | 0.000 | 4 | 1.639 | 0.355 | 2 | 1.636 | 1.000 | 1 | 1.650 | 0.082 | 3 |
Hong Kong | 1.511 | 0.001 | 4 | 1.472 | 0.008 | 3 | 1.455 | 1.000 | 1 | 1.470 | 0.018 | 2 |
India | 1.532 | 0.003 | 4 | 1.450 | 0.119 | 3 | 1.432 | 1.000 | 1 | 1.441 | 0.289 | 2 |
Mexico | 1.488 | 0.002 | 3 | 1.428 | 0.123 | 2 | 1.424 | 1.000 | 1 | 1.496 | 0.000 | 4 |
South Korea | 1.521 | 0.002 | 4 | 1.468 | 1.000 | 1 | 1.479 | 0.042 | 2 | 1.481 | 0.016 | 3 |
Taiwan | 1.558 | 0.004 | 3 | 1.524 | 0.023 | 2 | 1.516 | 1.000 | 1 | 1.750 | 0.000 | 4 |
Turkey | 1.507 | 0.029 | 3 | 1.579 | 0.000 | 4 | 1.454 | 1.000 | 1 | 1.455 | 0.437 | 2 |