On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

Table 3

Models	Adju	SEE	BIC	RMSE	MAE	MAPE
ARCH(2)	0.989953	0.007369	−2.620676	0.013674	0.009786	3.612218
ARCH(4)	0.989971	0.007062	−2.801014	0.010689	0.007441	3.469134
GARCH(2,1)	0.992352	0.003072	−7.893673	0.002668	0.002835	2.946543
GARCH(1,1)	0.999122	0.002672	−8.993776	0.002668	0.001983	2.743416