code1

说明：  能够使用HAR族模型对金融市场已实现波动率进行建模和预测，并包含相应的MCS检验和DM检验代码。(Can use the har family model to model and forecast the realized volatility of financial market, and contains the corresponding MCS test and DM test code.)

code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\data.xlsx, 1005419 , 2018-03-12
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\DM test\Codes.txt, 5186 , 2018-03-12
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\DM test\DM test - 1M.dta, 275729 , 2017-12-02
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\DM test\DM test - 1W.dta, 279367 , 2017-12-02
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\DM test\DM test -1D.dta, 280223 , 2017-12-02
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MCS test\R-HMAE.ox, 1966 , 2016-02-23
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MCS test\R-MAE.ox, 1143 , 2016-02-23
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MZ regression\mz regression -1d.wf1, 421107 , 2017-11-22
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MZ regression\mz regression -1m.wf1, 207935 , 2017-11-23
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MZ regression\mz regression -1w.wf1, 209993 , 2017-11-22
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\confirm.m, 248 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\Copy of HARRVTYPE.m, 19127 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\HARRVTYPE.asv, 18563 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\HARRVTYPE.m, 18578 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\icss.m, 740 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\icss_step2.m, 348 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\rvdata.mat, 326911 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\sxdicss.m, 1129 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models\xlbl.m, 124 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\confirm.m, 248 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\Copy of HARRVTYPE.m, 19127 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\HARRVTYPE.asv, 18563 , 2017-11-19
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\HARRVTYPE.m, 18578 , 2017-11-21
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\icss.m, 740 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\icss_step2.m, 348 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\rvdata.mat, 347859 , 2017-11-21
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\sxdicss.m, 1129 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models\xlbl.m, 124 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\confirm.m, 248 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\HARRVTYPE.m, 27389 , 2017-11-20
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\icss.m, 740 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\icss_step2.m, 348 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\rvdata.mat, 473418 , 2017-11-20
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\sxdicss.m, 1129 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models\xlbl.m, 124 , 2015-12-15
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Parameter estimation\Codes.txt, 3072 , 2018-03-12
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Parameter estimation\Parameter estimation.dta, 450013 , 2018-03-12
code1\1-s2.0-S0140988318302238-mmc1.zip, 3641124 , 2019-05-28
code1\The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market.pdf, 637323 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Linear HAR models, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Logarithmic HAR models, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction\Other benchmark models, 0 , 2020-01-09
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\DM test, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MCS test, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\MZ regression, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting\Rolling window prediction, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Out-of-sample forecasting, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief\Parameter estimation, 0 , 2019-05-28
code1\1-s2.0-S0140988318302238-mmc1\Data in Brief, 0 , 2019-06-20
code1\1-s2.0-S0140988318302238-mmc1, 0 , 2019-05-28
code1, 0 , 2019-05-28