Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Table 10. Estimation Period (ETH-USD)
| Model | RMSE | MAE | MAPE | ME | MPE | AIC | HQC | SBIC |
| (A) | 76.1775 | 35.7002 | 3.62804 | 2.22191 | 0.0199594 | 8.66613 | 8.66613 | 8.66613 |
| (B) | 76.1703 | 35.837 | 3.76007 | -9.31736E-15 | -0.726403 | 8.66726 | 8.66857 | 8.67078 |
| (C) | 1177.67 | 902.943 | 240.278 | -9.15502E-13 | -210.089 | 14.1439 | 14.1452 | 14.1474 |
| (D) | 887.023 | 735.227 | 196.604 | -5.86606E-13 | -133.649 | 13.5784 | 13.581 | 13.5854 |
| (E) | 393.778 | 297.732 | 79.0386 | -3.63437E-13 | 9.35267 | 11.9555 | 11.9595 | 11.9661 |
| (F) | 984.866 | 627.321 | 95.2343 | 355.12 | -43.4917 | 13.7877 | 13.7903 | 13.7947 |
| (G) | 1261.5 | 736.435 | 106.218 | 452.211 | -58.2718 | 14.2828 | 14.2854 | 14.2898 |
| (H) | 81.8445 | 38.9363 | 3.986 | 3.3597 | 0.0429774 | 8.81096 | 8.81227 | 8.81448 |
| (I) | 75.825 | 35.4622 | 3.59981 | 2.45693 | 0.0240163 | 8.65818 | 8.65949 | 8.66169 |
| (J) | 80.8488 | 38.3913 | 3.93021 | -0.17605 | 0.0167787 | 8.78648 | 8.78779 | 8.79678 |
| (K) | 75.8646 | 35.5497 | 3.64201 | 2.69145 | 0.423135 | 8.66054 | 8.66316 | 8.66757 |
| (L) | 86.6276 | 41.7392 | 4.34678 | -0.182228 | -0.00159087 | 8.92456 | 8.92587 | 8.92807 |
| (M) | 75.7199 | 35.4007 | 3.60227 | 1.53946 | -0.0608543 | 8.65804 | 8.66197 | 8.66859 |
| (N) | 75.8424 | 35.4842 | 3.59957 | 2.44059 | 0.0235545 | 8.65863 | 8.65994 | 8.66215 |
| (O) | 75.8501 | 35.4838 | 3.60181 | 2.4593 | 0.0236666 | 8.65884 | 8.66015 | 8.66235 |
| (P) | 75.7486 | 35.3801 | 3.59462 | 1.50895 | -0.0726636 | 8.66012 | 8.66536 | 8.67419 |