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Table 6

Significance tests

<Panel A> one-day out-of-sample pricing errors
	BS	A1	A2	R1	R2	SV
A1	12.9527^**
A2	14.7132^**	4.8408^**
R1	19.2072^**	5.7675^**	−0.4589
R2	−8.4919^**	−13.3836^**	−15.0994^**	−15.7245^**
SV	39.8102^**	26.6276^**	16.4613^**	21.5920^**	24.7122^**
SVJ	72.8611^**	52.5199^**	31.8886^**	46.3709^**	32.0194^**	16.3295^**

<Panel A> one-day out-of-sample pricing errors
	BS	A1	A2	R1	R2	SV
A1	12.9527^**
A2	14.7132^**	4.8408^**
R1	19.2072^**	5.7675^**	−0.4589
R2	−8.4919^**	−13.3836^**	−15.0994^**	−15.7245^**
SV	39.8102^**	26.6276^**	16.4613^**	21.5920^**	24.7122^**
SVJ	72.8611^**	52.5199^**	31.8886^**	46.3709^**	32.0194^**	16.3295^**

< Panel B> One-Week Out-of-Sample Pricing Errors
	BS	A1	A2	R1	R2	SV
A1	−3.3375^**
A2	−24.7282^**	−21.0147^**
R1	−13.0105^**	−9.2679^**	12.5416^**
R2	−36.4456^**	−34.5534^**	−22.3350^**	−29.9228^**
SV	−3.6198^**	−0.5693	19.1509^**	7.9624^**	33.5657^**
SVJ	28.0799^**	29.6024^**	47.5929^**	39.0406^**	47.7646^**	27.0174^**

< Panel B> One-Week Out-of-Sample Pricing Errors
	BS	A1	A2	R1	R2	SV
A1	−3.3375^**
A2	−24.7282^**	−21.0147^**
R1	−13.0105^**	−9.2679^**	12.5416^**
R2	−36.4456^**	−34.5534^**	−22.3350^**	−29.9228^**
SV	−3.6198^**	−0.5693	19.1509^**	7.9624^**	33.5657^**
SVJ	28.0799^**	29.6024^**	47.5929^**	39.0406^**	47.7646^**	27.0174^**

< Panel C> One-Day Hedging Errors
	BS	A1	A2	R1	R2	SV
A1	19.2039^**
A2	26.2723^**	7.0389^**
R1	1.8144	−16.1733^**	−22.7370^**
R2	3.9209^**	−13.9917^**	−20.5217^**	2.0009^*
SV	7.5437^**	−10.1321^**	−16.5604^**	5.4549^**	3.4643^**
SVJ	2.0314	−15.7196^**	−22.1866^**	0.2269	−1.7525	−5.1710

< Panel C> One-Day Hedging Errors
	BS	A1	A2	R1	R2	SV
A1	19.2039^**
A2	26.2723^**	7.0389^**
R1	1.8144	−16.1733^**	−22.7370^**
R2	3.9209^**	−13.9917^**	−20.5217^**	2.0009^*
SV	7.5437^**	−10.1321^**	−16.5604^**	5.4549^**	3.4643^**
SVJ	2.0314	−15.7196^**	−22.1866^**	0.2269	−1.7525	−5.1710

< Panel D> One-Week Hedging Errors
	BS	A1	A2	R1	R2	SV
A1	22.8361^**
A2	38.3946^**	15.8126^**
R1	11.5377^**	−9.8808^**	−24.4243^**
R2	17.2426^**	−3.9450^**	−18.3580^**	5.4977^**
SV	15.7878^**	−4.7191^**	−18.5846^**	4.4718^**	−0.8544
SVJ	11.0510^**	−9.7787^**	−23.8568^**	−0.1744	−5.5337^**	−4.7690^**

< Panel D> One-Week Hedging Errors
	BS	A1	A2	R1	R2	SV
A1	22.8361^**
A2	38.3946^**	15.8126^**
R1	11.5377^**	−9.8808^**	−24.4243^**
R2	17.2426^**	−3.9450^**	−18.3580^**	5.4977^**
SV	15.7878^**	−4.7191^**	−18.5846^**	4.4718^**	−0.8544
SVJ	11.0510^**	−9.7787^**	−23.8568^**	−0.1744	−5.5337^**	−4.7690^**

Note(s): This table reports the t-statistics testing whether the differences in MAE across option pricing models are statistically significant. The null hypothesis is that “there is no difference in MAE between the two option pricing models.” Each cell contains the t-statistic for the difference in MAE between the model listed in the column and the model listed in the row. **, * indicate significance at the 1 and 5% levels, respectively. BS refers to the Black and Scholes (1973) model. The A1 model uses the intercept and strike price as independent variables, while the A2 model includes the intercept, strike price, and squared strike price. The R1 model uses the intercept and moneyness, while the R2 model includes the intercept, moneyness, and squared moneyness. SV and SVJ refer to the stochastic volatility model and the stochastic volatility with jumps model of Bakshi et al. (1997), respectively

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