MSFE(HAROd), MSFE(HARVd), MSFE(HAROVd) and MSFE(HARO), MSFE(HARV), MSFE(HAROV) along with the p-values of corresponding hypothesis tests.

MSFE(HAROd), MSFE(HARVd), MSFE(HAROVd) and MSFE(HARO), MSFE(HARV), MSFE(HAROV) along with the p-values of corresponding hypothesis tests.</p

The cumSFE of LHARO, LHARV and LHAROV relative to LHAR (rolling window).

Notes:The first, second, third and fourth row corresponding to h = 1,5,10,22, respectively. The blue line, red line and gray line denotes the cumSFE(LHARO, N), cumSFE(LHARV, N) and cumSFE(LHAROV, N), respectively.</p

The cumSFE of HARO, HARV and HAROV relative to HAR.

Notes: The blue line, red line and gray line denotes the cumSFE(HARO, N), cumSFE(HARV, N) and cumSFE(HAROV, N), respectively.</p

Out-of-sample forecasts performance comparation of LHAR, LHARO, LHARV and LHAROV (long forecasting horizons).

Out-of-sample forecasts performance comparation of LHAR, LHARO, LHARV and LHAROV (long forecasting horizons).</p

Adjusted R-square of HAR, HARO, HARV and HAROV (in percentage terms).

Adjusted R-square of HAR, HARO, HARV and HAROV (in percentage terms).</p

Cumulative response of Chinese sector indexes volatilities to three different kinds of oil market uncertainty (GARCH volatilities).

Cumulative response of Chinese sector indexes volatilities to three different kinds of oil market uncertainty (GARCH volatilities).</p

Cumulative response of Chinese sector indexes volatilities to three different kinds of oil market uncertainty (before and after the reform).

Cumulative response of Chinese sector indexes volatilities to three different kinds of oil market uncertainty (before and after the reform).</p

Full sample estimations of LHARO, LHARV and LHAROV (long forecasting horizons).

Full sample estimations of LHARO, LHARV and LHAROV (long forecasting horizons).</p

Out-of-sample forecasts performance comparations of LHAR, LHARO, LHARV and LHAROV based on rolling window with 2000 out-of-sample numbers.

Out-of-sample forecasts performance comparations of LHAR, LHARO, LHARV and LHAROV based on rolling window with 2000 out-of-sample numbers.</p

The cumSFE of LHARO, LHARV and LHAROV relative to LHAR (different model setting).

Notes: The first, second, third and fourth row corresponding to h = 1,5,10,22, respectively. The blue line, red line and gray line denotes the cumSFE(LHARO, N), cumSFE(LHARV, N) and cumSFE(LHAROV, N), respectively.</p