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