Regression results for realized variance (out-of-sample).

This table reports the Mincer-Zarnowitz regression result for the model performance comparison regarding the out-of-sample realized variance. RV0 represents the single variable regression for our model only, RV-G represents the model 1 is our model and model 2 is GARCH model defined in Eq (13); RV-IG represents the model 1 is our model and model 2 is IGARCH model defined in Eq (13); RV-TG represents the model 1 is our model and model 2 is TGARCH model defined in Eq (13). *, **, *** indicate statistical significance at 10%, 5% and 1% levels, respectively.