|
| Datasize | Model | Overall | HKEX | JYP | LSE | Nasdaq |
| In-sample | 10 | DMPP | 0.941645 | 0.405476 | 0.424834 | 0.685359 | 0.500077 |
|
| DP | 0.920825 | 0.384902 | 0.312197 | 0.620250 | 0.608229 | |
|
| EP | 0.203181 |
|
|
|
| |
| 30 | DMPP | 1.111540 | 0.684962 | 0.545692 | 0.611723 | 0.591732 | |
|
| DP | 1.006025 | 0.608240 | 0.437749 | 0.607806 | 0.617202 | |
|
| EP | 0.285610 |
|
|
|
| |
| 60 | DMPP | 1.318233 | 0.826391 | 0.447431 | 0.804308 | 0.830503 | |
|
| DP | 1.234574 | 0.796821 | 0.415003 | 0.732514 | 0.827139 | |
|
| EP | 0.363972 |
|
|
|
| |
| 100 | DMPP | 1.465699 | 0.838616 | 0.529777 | 0.908153 | 0.919805 | |
|
| DP | 1.419070 | 0.749867 | 0.494402 | 0.987722 | 0.858681 | |
|
| EP | 0.403217 |
|
|
|
| |
| Out-of-sample | 10 | DMPP | 0.415725 | 0.136842 | 0.130012 | 0.020139 | 0.445197 |
|
| DP | 0.355467 | 0.102437 | 0.112504 | 0.015487 | 0.392548 | |
|
| EP | 0.493651 |
|
|
|
| |
| 30 | DMPP | 0.604115 | 0.201213 | 0.250172 | 0.302175 | 0.361124 | |
|
| DP | 0.578124 | 0.189924 | 0.211842 | 0.315487 | 0.341102 | |
|
| EP | 0.612245 |
|
|
|
| |
| 60 | DMPP | 0.641124 | 0.005724 | 0.504975 | 0.466482 | 0.501123 | |
|
| DP | 0.620003 | 0.004906 | 0.478852 | 0.431198 | 0.512914 | |
|
| EP | 0.695142 |
|
|
|
| |
| 100 | DMPP | 0.532201 | 0.037598 | 0.906291 | 0.038451 | 0.621031 | |
|
| DP | 0.503251 | 0.020156 | 0.889245 | 0.032015 | 0.601937 | |
|
| EP | 0.575139 |
|
|
|
|