Accuracy of the CIR# in terms of AvgReIMSE and AvgReIRMSE with respect to the baseline models, during the COVID-19 period
| Statistics | Baseline models | ||||
|---|---|---|---|---|---|
| HW | EWMA | ARIMA-EGARCH* | SARIMA* | DNNAR* | |
| AvgRelMSE | 0.0432 | 0.0029 | 0.0057 | 0.0239 | 0.0280 |
| (1-AvgRelMSE)100% | 95.67% | 99.70% | 99.42% | 97.60% | 97.19% |
| AvgRelRMSE | 0.2080 | 0.0539 | 0.0757 | 0.1548 | 0.1674 |
| (1-AvgRelRMSE)100% | 79.19% | 94.60% | 92.42% | 84.51% | 83.25% |
| Statistics | Baseline models | ||||
|---|---|---|---|---|---|
| HW | EWMA | ARIMA-EGARCH* | SARIMA* | DNNAR* | |
| AvgRelMSE | 0.0432 | 0.0029 | 0.0057 | 0.0239 | 0.0280 |
| (1-AvgRelMSE)100% | 95.67% | 99.70% | 99.42% | 97.60% | 97.19% |
| AvgRelRMSE | 0.2080 | 0.0539 | 0.0757 | 0.1548 | 0.1674 |
| (1-AvgRelRMSE)100% | 79.19% | 94.60% | 92.42% | 84.51% | 83.25% |
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