Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 12a.
Estimation Period (BTC-USD)
| Model | RMSE | MAE | MAPE | ME | MPE | AIC | HQC | SBIC | | (A) | 1006.24 | 533.764 | 2.78724 | 25.8842 | 0.0353034 | 13.8279 | 13.8279 | 13.8279 | | (B) | 1006.24 | 533.85 | 2.80118 | 1.15415E-13 | -0.239423 | 13.8293 | 13.8306 | 13.8328 | | (C) | 17499.0 | 14282.1 | 122.392 | 3.05648E-12 | -92.8058 | 19.5411 | 19.5424 | 19.5446 | | (D) | 11560.1 | 9685.19 | 84.5467 | 2.1626E-11 | -34.1578 | 18.7133 | 18.7159 | 18.7203 | | (E) | 7116.43 | 4806.7 | 31.0497 | 1.40137E-11 | -7.8203 | 17.7443 | 17.7482 | 17.7548 | | (F) | 11131.7 | 7598.79 | 47.9326 | 3119.38 | -14.3838 | 18.6377 | 18.6404 | 18.6448 | | (G) | 18383.4 | 11876.8 | 70.8177 | 5728.04 | -31.8428 | 19.641 | 19.6437 | 19.6481 | | (H) | 1110.34 | 604.615 | 3.13077 | 39.4878 | 0.0623581 | 14.0262 | 14.0275 | 14.0297 | | (I) | 1005.67 | 531.978 | 2.7784 | 26.8069 | 0.0369705 | 13.8281 | 13.8294 | 13.8316 | | (J) | 1078.17 | 582.001 | 3.06281 | -2.15174 | -0.00183338 | 13.9674 | 13.9687 | 13.9709 | | (K) | 1008.05 | 533.222 | 2.78659 | -4.98762 | -0.0215585 | 13.8342 | 13.8368 | 13.8412 | | (L) | 1162.48 | 636.136 | 3.38483 | -3.12668 | -0.0180121 | 14.1179 | 14.1192 | 14.1215 | | (M) | 1006.24 | 533.764 | 2.78724 | 25.8842 | 0.0353034 | 13.8279 | 13.8279 | 13.8279 | | (N) | 1006.0 | 532.337 | 2.77997 | 26.7825 | 0.0367865 | 13.8288 | 13.8301 | 13.8323 | | (O) | 1006.0 | 532.321 | 2.78008 | 26.8098 | 0.0368227 | 13.8288 | 13.8301 | 13.8323 | | (P) | 1006.22 | 533.37 | 2.78511 | 24.1139 | 0.0256127 | 13.8292 | 13.8305 | 13.8327 |
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