Forecasting accuracy across models
| Statistics | CIR# (%) | HW (%) | EWMA (%) | ARIMA-EGARCH* (%) | SARIMA* (%) | DNNAR* (%) |
|---|---|---|---|---|---|---|
| MAE | 1.32 | 36.84 | 31.47 | 10.25 | 9.21 | 9.49 |
| RMSE | 2.12 | 15.56 | 43.90 | 13.44 | 16.74 | 16.20 |
| MAPE | 1.18 | 7.14 | 8.38 | 12.07 | 10.93 | 11.18 |
| Statistics | CIR# (%) | HW (%) | EWMA (%) | ARIMA-EGARCH* (%) | SARIMA* (%) | DNNAR* (%) |
|---|---|---|---|---|---|---|
| MAE | 1.32 | 36.84 | 31.47 | 10.25 | 9.21 | 9.49 |
| RMSE | 2.12 | 15.56 | 43.90 | 13.44 | 16.74 | 16.20 |
| MAPE | 1.18 | 7.14 | 8.38 | 12.07 | 10.93 | 11.18 |
Note:
Out-of-sample results over monthly data (changes)
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