forecast Chinese stock market return
jhh19970724
Result_for_outofsampleforecast1.xlsxMSFE_ratio and MSE_F
| Row | MSFE_ratio | MSE_F | |
| LNTurnover,exp | 1.0586941236 | -6.541933533 | |
| China_SIR,exp | 1.0762400198 | -8.3590297397 | |
| SMB,exp | 1.0098053006 | -1.1457906529 | |
| HML,exp | 1.0125080339 | -1.4577148545 | |
| RMW,exp | 0.9901112935 | 1.1785214218 | |
| CMA,exp | 1.0017300174 | -0.2037894939 | |
| LNM0,exp | 1.0237905875 | -2.7420542445 | |
| LNM1,exp | 1.0215516581 | -2.4894440153 | |
| LNM2,exp | 1.0233235302 | -2.6894491154 | |
| China_INFL,exp | 0.9707405098 | 3.5566866788 | |
| China_EP,exp | 1.0082172214 | -0.9617293808 | |
| China_BM,exp | 1.003031719 | -0.3566615458 | |
| USA_Semtiment,exp | 1.0007315871 | -0.0862641727 | |
| SP500Ret,exp | 0.9953152665 | 0.5554004527 | |
| NASDQRet,exp | 0.9964118942 | 0.4249211522 | |
| USA_LIR,exp | 1.0644455441 | -7.1441646252 | |
| USA_INFL,exp | 0.9523550822 | 5.9033656716 | |
| USA_BILL,exp | 1.097778618 | -10.510203724 | |
| USA_EP,exp | 1.0891510828 | -9.6587405877 | |
| LNTurnover,roll | 1.058531198 | -6.5247782696 | |
| China_SIR,roll | 1.1126634966 | -11.9481699918 | |
| SMB,roll | 1.0159356183 | -1.8509076011 | |
| HML,roll | 1.0171955776 | -1.9947768146 | |
| RMW,roll | 0.986920294 | 1.5638601357 | |
| CMA,roll | 1.0051435138 | -0.6038288227 | |
| LNM0,roll | 1.0537387067 | -6.0177796879 | |
| LNM1,roll | 1.0364110105 | -4.1455553827 | |
| LNM2,roll | 1.0495956653 | -5.5757552144 | |
| China_INFL,roll | 0.9887170541 | 1.346581011 | |
| China_EP,roll | 1.0095547493 | -1.1167897657 | |
| China_BM,roll | 1.0007152814 | -0.0843428786 | |
| USA_Semtiment,roll | 1.0030615497 | -0.3601602139 | |
| SP500Ret,roll | 0.9942639287 | 0.6807613117 | |
| NASDQRet,roll | 0.9980342376 | 0.2324168359 | |
| USA_LIR,roll | 1.0655650187 | -7.2606289394 | |
| USA_INFL,roll | 0.9495536221 | 6.2689167365 | |
| USA_BILL,roll | 1.0768632268 | -8.4224816478 | |
| USA_EP,roll | 1.0979724414 | -10.5291787375 | |
| LNTurnover,win-combine | 1.0566178571 | -6.3229171221 | |
| China_SIR,win-combine | 1.0846902262 | -9.2131803589 | |
| SMB,win-combine | 1.0114824955 | -1.3395530536 | |
| HML,win-combine | 1.0138274647 | -1.6093870971 | |
| RMW,win-combine | 0.9872841221 | 1.5197991721 | |
| CMA,win-combine | 1.002263609 | -0.2665026019 | |
| LNM0,win-combine | 1.036366271 | -4.1406403335 | |
| LNM1,win-combine | 1.0246061141 | -2.8337928335 | |
| LNM2,win-combine | 1.0328823729 | -3.7565942736 | |
| China_INFL,win-combine | 0.9730086826 | 3.2733268578 | |
| China_EP,win-combine | 1.0069600052 | -0.815604005 | |
| China_BM,win-combine | 1.0016692145 | -0.1966390798 | |
| USA_Semtiment,win-combine | 0.9995802312 | 0.0495535157 | |
| SP500Ret,win-combine | 0.9934292979 | 0.7804710965 | |
| NASDQRet,win-combine | 0.99597891 | 0.4764042881 | |
| USA_LIR,win-combine | 1.0633838336 | -7.0334832351 | |
| USA_INFL,win-combine | 0.9486764569 | 6.3838182514 | |
| USA_BILL,win-combine | 1.0785524676 | -8.5941031637 | |
| USA_EP,win-combine | 1.0904513283 | -9.7879258413 | |
| Combine-exp | 0.996885915 | 0.3686099185 | |
| Combine-roll | 0.9938881309 | 0.7256355466 | |
| Combine-all | 0.9949635105 | 0.5973141289 | |
| DI, exp | 1.0263570736 | -3.0302657464 | |
| DI, roll | 1.0538985234 | -6.0347610564 | |
| DI, combine | 1.0375190042 | -4.2671435229 |
max_MSE_F_bootstrap
| Times | max MSE_F | |||
| 1 | 2.1569572636 | 这张表是按照你导师的代码来的，设置的bootstrap次数为100次，max_MSE_F代表的是统计的每一次bootstrap里的最大的那个MSE_F值 We run boostrap 100 times and get this sheet, the max_MSE_F is the biggest MSE_F value in every bootstrap. | ||
| 2 | 2.1050924937 | |||
| 3 | 1.5480426241 | |||
| 4 | 2.9697088406 | |||
| 5 | 4.3496466114 | |||
| 6 | 3.1816410289 | |||
| 7 | 0.1634082928 | |||
| 8 | 2.0732275366 | |||
| 9 | 2.9880833418 | |||
| 10 | 3.6876626601 | |||
| 11 | 0.5476745769 | |||
| 12 | 2.2741020051 | |||
| 13 | -0.4317658765 | |||
| 14 | 2.8711994054 | |||
| 15 | 3.5077787408 | |||
| 16 | 3.5843929947 | |||
| 17 | 6.1899264124 | |||
| 18 | 2.0924225386 | |||
| 19 | 1.421215029 | |||
| 20 | 2.0532951889 | |||
| 21 | 0.3730958078 | |||
| 22 | 2.4841679527 | |||
| 23 | 1.6714250187 | |||
| 24 | 0.0372028948 | |||
| 25 | 1.756610577 | |||
| 26 | 1.3314220399 | |||
| 27 | -0.3802908967 | |||
| 28 | 1.6394454125 | |||
| 29 | 0.4553017116 | |||
| 30 | 0.4494040358 | |||
| 31 | 0.8099310459 | |||
| 32 | 3.5476973733 | |||
| 33 | 3.8565485631 | |||
| 34 | 0.5245269564 | |||
| 35 | 1.0096104611 | |||
| 36 | 1.5403906312 | |||
| 37 | 0.1465890824 | |||
| 38 | 0.1899840117 | |||
| 39 | 0.9184633646 | |||
| 40 | 3.7100572471 | |||
| 41 | 1.8169157193 | |||
| 42 | 1.1345227214 | |||
| 43 | 2.8770371075 | |||
| 44 | 0.5319828617 | |||
| 45 | 0.3998863276 | |||
| 46 | 1.5834647017 | |||
| 47 | 0.819708072 | |||
| 48 | 3.225506933 | |||
| 49 | 1.6063832682 | |||
| 50 | -0.2502097273 | |||
| 51 | 0.1597167357 | |||
| 52 | 0.7764978988 | |||
| 53 | 1.2154380937 | |||
| 54 | 2.9630981174 | |||
| 55 | 0.937919883 | |||
| 56 | 3.8598619698 | |||
| 57 | 0.1718829596 | |||
| 58 | 0.4502800228 | |||
| 59 | 1.6910263995 | |||
| 60 | -0.2318120683 | |||
| 61 | 0.9336154844 | |||
| 62 | 4.3227274717 | |||
| 63 | 2.736886087 | |||
| 64 | 1.8891271507 | |||
| 65 | 2.3568241849 | |||
| 66 | 0.1322496851 | |||
| 67 | 1.2491369601 | |||
| 68 | 6.4007136583 | |||
| 69 | 1.401783845 | |||
| 70 | 1.0843107479 | |||
| 71 | 1.4054362506 | |||
| 72 | -0.8648788916 | |||
| 73 | 0.2405488673 | |||
| 74 | 0.0266084942 | |||
| 75 | 0.8003145862 | |||
| 76 | 5.0076271577 | |||
| 77 | 2.369125382 | |||
| 78 | 1.9754016453 | |||
| 79 | 2.1947634926 | |||
| 80 | 1.3282043898 | |||
| 81 | 0.4118270645 | |||
| 82 | -0.2700817117 | |||
| 83 | 1.7455403938 | |||
| 84 | 1.6006938906 | |||
| 85 | 3.9445726931 | |||
| 86 | 0.1989715015 | |||
| 87 | 1.0145083354 | |||
| 88 | 0.6093051812 | |||
| 89 | 0.08664918 | |||
| 90 | -0.2141338239 | |||
| 91 | 0.9886443968 | |||
| 92 | 1.8744426808 | |||
| 93 | 4.5381766827 | |||
| 94 | 1.6362990344 | |||
| 95 | 1.6110098498 | |||
| 96 | 3.7180127065 | |||
| 97 | 1.5240781527 | |||
| 98 | 0.1565397041 | |||
| 99 | 3.7255875305 | |||
| 100 | 2.2246872896 |
p_value
| p value | This is the bootstrapped p-value for checking data mining in out-of sample | |
| 0.01 |
