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

Table 11a.

Estimation Period BNB-USD

Model

RMSE

MAE

MAPE

ME

MPE

AIC

HQC

SBIC

(A)

12.4982

4.45725

3.99417

0.336892

0.171702

5.05117

5.05117

5.05117

(B)

12.4978

4.51213

4.73112

-3.60672E-15

-2.06514

5.05242

5.05373

5.05594

(C)

175.596

135.238

624.622

-1.47478E-13

-593.675

10.3377

10.339

10.3412

(D)

123.624

98.0674

508.265

-2.26398E-14

42.4088

9.63714

9.63976

9.64417

(E)

79.777

58.1431

341.615

-8.23741E-14

-110.54

8.76243

8.76636

8.77298

(F)

129.02

67.333

82.91

44.7842

-34.4604

9.72258

9.7252

9.72961

(G)

189.837

94.2338

129.923

73.0015

-88.3493

10.495

10.4976

10.502

(H)

13.1083

4.73976

4.38207

0.508182

0.26956

5.14781

5.14912

5.15133

(I)

12.3759

4.43319

3.97758

0.388092

0.199387

5.03282

5.03413

5.03634

(J)

13.0259

4.7263

4.44095

-0.0213963

0.000605187

5.1352

5.13651

5.13872

(K)

12.384

4.46903

4.7491

0.41751

1.93867

5.03545

5.03807

5.04248

(L)

13.9405

5.12772

4.89137

-0.0225001

-0.0273819

5.27092

5.27223

5.27444

(M)

12.3127

4.44193

3.99979

0.352958

0.183015

5.0239

5.02652

5.03093

(N)

12.3121

4.43825

3.99985

0.307025

0.140552

5.02513

5.02906

5.03568

(O)

12.3187

4.44278

4.00016

0.352536

0.182788

5.02619

5.03012

5.03674

(P)

12.3295

4.44124

3.98564

0.360449

0.186214

5.02663

5.02925

5.03366

(Q)

12.3194

4.44157

3.99983

0.352954

0.182949

5.02763

5.03287

5.04169