In sample fitting with realized variance.
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This table presents the oil futures volatility in-sample fitting results of Liquidity-adjusted GARCH (LGARCH) with other three GARCH models against the realized variance using the Mean Squared Error (MSE). The p-values for statistical differences of the forecasting errors are also presented. The LGARCH model outweighs all other three models in both full sample and all subsample tests. Where en = *10n, e.g. e − 02 = *10−2.
创建时间：
2021-11-29
