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