Journal of Probability and Statistics / 2020 / Article / Tab 10

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 10

Comparison of forecast errors of ARIMA and GARCH models.

VarModelRMSEMAEMAPE

ADARIMA0.042123920.040950.051284
GARCH0.01721190.01407330.017524
TGARCH0.017277510.014150.01762
APARCH0.01723080.01409670.017553
EGARCH0.01732920.014210.017695

CARIMA51.7524551.372370.122862
GARCH8.1278846.270.014797
TGARCH4.8370274.030.009562
APARCH4.5875743.860.009168
EGARCH4.9155374.080.009677

CLARIMA11.1721910.994260.175763
GARCH4.4335513.9546670.062562
TGARCH3.8091623.4170.054092
APARCH3.6381783.2836670.052027
EGARCH3.7364443.3613330.05323

ESARIMA34.446731.30070.257851
GARCH22.5608321.916370.023232
TGARCH22.5608321.916370.023232
APARCH22.5608321.916370.023232
EGARCH22.5608321.916370.023232

FCARIMA5.5559514.99990.032833
GARCH3.066892.63250.017276
TGARCH3.6878153.1791670.020851
APARCH3.0861212.65250.017407
EGARCH3.6451993.1458330.020634

GCARIMA59.9112258.4280.042608
GARCH49.7780747.073330.034301
TGARCH41.0717738.573330.028094
APARCH40.2783237.806670.027535
EGARCH35.4641132.873330.023931

KCARIMA27.5205927.391570.197089
GARCH3.8753923.6033330.026005
TGARCH9.7959528.9233330.064539
APARCH10.335739.3933330.067943
EGARCH4.6650834.360.031484

USARIMA5.0487454.321460.030222
GARCH4.2019973.5491670.024834
TGARCH4.1605933.5158330.0246
APARCH4.2459583.5891670.025113
EGARCH4.1843993.5358330.024741

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