Forecasting accuracy across models
| Statistics | CIR# (%) | HW (%) | EWMA (%) | ARIMA-EGARCH* (%) | SARIMA* (%) | DNNAR* (%) |
|---|---|---|---|---|---|---|
| MAE | 1.88 | 40.24 | 33.49 | 25.47 | 16.50 | 15.65 |
| RMSE | 2.85 | 28.44 | 47.68 | 33.43 | 27.35 | 2.56 |
| MAPE | 1.69 | 5.47 | 7.05 | 13.86 | 14.08 | 12.15 |
| Statistics | CIR# (%) | HW (%) | EWMA (%) | ARIMA-EGARCH* (%) | SARIMA* (%) | DNNAR* (%) |
|---|---|---|---|---|---|---|
| MAE | 1.88 | 40.24 | 33.49 | 25.47 | 16.50 | 15.65 |
| RMSE | 2.85 | 28.44 | 47.68 | 33.43 | 27.35 | 2.56 |
| MAPE | 1.69 | 5.47 | 7.05 | 13.86 | 14.08 | 12.15 |
Note:
Out-of-sample results over monthly data (changes) during the COVID-19 period
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