Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 12b.
Estimation Period (BTC-USD) Continue
| Model | RMSE | RUNS | RUNM | AUTO | MEAN | VAR | | (A) | 1006.24 | OK | * | *** | OK | *** | | (B) | 1006.24 | OK | * | *** | OK | *** | | (C) | 17499.0 | *** | *** | *** | *** | *** | | (D) | 11560.1 | *** | *** | *** | *** | *** | | (E) | 7116.43 | *** | *** | *** | *** | *** | | (F) | 11131.7 | *** | *** | *** | *** | *** | | (G) | 18383.4 | *** | *** | *** | *** | *** | | (H) | 1110.34 | *** | *** | *** | OK | *** | | (I) | 1005.67 | OK | OK | *** | OK | *** | | (J) | 1078.17 | *** | *** | *** | OK | *** | | (K) | 1008.05 | OK | OK | *** | OK | *** | | (L) | 1162.48 | *** | *** | *** | OK | *** | | (M) | 1006.24 | OK | * | *** | OK | *** | | (N) | 1006.0 | OK | OK | *** | OK | *** | | (O) | 1006.0 | OK | OK | *** | OK | *** | | (P) | 1006.22 | OK | * | *** | OK | *** |
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