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

Table 7.

Automatic ETH-USD, BNB-USD, and BTC-USDForecasting

Statistics	ETH-USD Estimation Period ARIMA (2,0,1)	BNB-USD Estimation Period ARIMA (0,1,2)	ETH-USD Estimation Period ARIMA (2,0,1)
RMSE	75.7199	12.3127	1006.14
MAE	35.4007	4.44193	533.957
MAPE	3.60227	3.99979	2.81038
ME	1.53946	0.352958	7.64408
MPE	-0.0608543	0.183015	-0.261146