Rolling-origin performance metrics for Elastic Net and CatBoost models
Model
RMSE (billion USD)
MAE (billion USD)
R2
Elastic Net
4.02
2.80
0.894
CatBoost
6.08
4.79
0.758
ARIMA (2,1,2)
17.34
12.19
−0.966
Model
RMSE (billion USD)
MAE (billion USD)
R2
Elastic Net
4.02
2.80
0.894
CatBoost
6.08
4.79
0.758
ARIMA (2,1,2)
17.34
12.19
−0.966
Note(s): RMSE = root mean squared error; MAE = mean absolute error; = out-of-sample coefficient of determination (negative values indicate worse performance than a mean benchmark). Lower RMSE/MAE and higher indicate better performance