Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 10b.
Estimation Period Continue (ETH-USD)
| Model | RMSE | RUNS | RUNM | AUTO | MEAN | VAR | | (A) | 76.1775 | OK | ** | *** | OK | *** | | (B) | 76.1703 | OK | ** | *** | OK | *** | | (C) | 1177.67 | *** | *** | *** | *** | *** | | (D) | 887.023 | *** | *** | *** | *** | *** | | (E) | 393.778 | *** | *** | *** | *** | *** | | (F) | 984.866 | *** | *** | *** | *** | *** | | (G) | 1261.5 | *** | *** | *** | *** | *** | | (H) | 81.8445 | *** | *** | *** | OK | *** | | (I) | 75.825 | OK | OK | *** | OK | *** | | (J) | 80.8488 | *** | *** | *** | OK | *** | | (K) | 75.8646 | OK | OK | *** | OK | *** | | (L) | 86.6276 | *** | *** | *** | OK | *** | | (M) | 75.7199 | OK | OK | *** | OK | *** | | (N) | 75.8424 | OK | OK | *** | OK | *** | | (O) | 75.8501 | OK | OK | *** | OK | *** | | (P) | 75.7486 | OK | OK | *** | OK | *** |
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