Table 6

Performance analysis results

Forecast error (%)
Model 1Model 2Model 3
Probit models incorporating indirect sentiment measure
50% threshold
Type Aa15.2514.2813.86
Type Bb09.8109.5308.22
25% threshold   
Type Aa12.4511.8510.63
Type Bb06.8606.0407.34
Probit models incorporating direct sentiment measure
50% threshold
Type Aa11.4810.7510.45
Type Bb03.2503.1304.27
25% threshold
Type Aa07.4507.1805.84
Type Bb03.8104.6304.96

Note(s):

a

Probability of having a crisis without any signal emitted

b

Number of false signals among all signals

Source(s): Authors’ own work
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