April-July, 2008

Proxy

Loss function

Forecast horizons

Volatility model

GARCH

TGARCH

APARCH

TSRV

QL

1 day

0.5068

0.4421**

0.4432**

1 week

0.5870

0.4717

0.4457

2 weeks

0.5712

0.4840

0.4622

1 month

0.6293

0.4917

0.4833 *

MSE

1 day

1.5643

1.8865

1.6543

1 week

1.6720

1.8353

1.7242

2 weeks

1.6895

1.7685

1.5608

1 month

1.6975

1.5344

1.4191 *

September-December, 2008

GARCH

TGARCH

APARCH

TSRV

QL

1 day

0.6493

0.6189*

0.528***

1 week

0.6663

0.6291

0.5373**

2 weeks

0.6955

0.6163

0.5759**

1 month

0.6840

0.6579 **

0.5894**

MSE

1 day

2.9401

3.2443

2.1989

1 week

3.1413

3.3296

2.2755**

2 weeks

3.4482

2.9432

2.5016***

1 month

3.5297

3.1377 **

2.8451**