Table 3

Rolling-origin performance metrics for Elastic Net and CatBoost models

ModelRMSE (billion USD)MAE (billion USD)R2
Elastic Net4.022.800.894
CatBoost6.084.790.758
ARIMA (2,1,2)17.3412.19−0.966

Note(s): RMSE = root mean squared error; MAE = mean absolute error; R2 = out-of-sample coefficient of determination (negative values indicate worse performance than a mean benchmark). Lower RMSE/MAE and higher R2 indicate better performance

or Create an Account

Close Modal
Close Modal