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 |
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