Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models

Table 10a.

Estimation Period (ETH-USD)

Model

RMSE

MAE

MAPE

ME

MPE

AIC

HQC

SBIC

(A)

76.1775

35.7002

3.62804

2.22191

0.0199594

8.66613

8.66613

8.66613

(B)

76.1703

35.837

3.76007

-9.31736E-15

-0.726403

8.66726

8.66857

8.67078

(C)

1177.67

902.943

240.278

-9.15502E-13

-210.089

14.1439

14.1452

14.1474

(D)

887.023

735.227

196.604

-5.86606E-13

-133.649

13.5784

13.581

13.5854

(E)

393.778

297.732

79.0386

-3.63437E-13

9.35267

11.9555

11.9595

11.9661

(F)

984.866

627.321

95.2343

355.12

-43.4917

13.7877

13.7903

13.7947

(G)

1261.5

736.435

106.218

452.211

-58.2718

14.2828

14.2854

14.2898

(H)

81.8445

38.9363

3.986

3.3597

0.0429774

8.81096

8.81227

8.81448

(I)

75.825

35.4622

3.59981

2.45693

0.0240163

8.65818

8.65949

8.66169

(J)

80.8488

38.3913

3.93021

-0.17605

0.0167787

8.78648

8.78779

8.79678

(K)

75.8646

35.5497

3.64201

2.69145

0.423135

8.66054

8.66316

8.66757

(L)

86.6276

41.7392

4.34678

-0.182228

-0.00159087

8.92456

8.92587

8.92807

(M)

75.7199

35.4007

3.60227

1.53946

-0.0608543

8.65804

8.66197

8.66859

(N)

75.8424

35.4842

3.59957

2.44059

0.0235545

8.65863

8.65994

8.66215

(O)

75.8501

35.4838

3.60181

2.4593

0.0236666

8.65884

8.66015

8.66235

(P)

75.7486

35.3801

3.59462

1.50895

-0.0726636

8.66012

8.66536

8.67419