p-Value of the heteroscedasticity test (white) and KS test (normal distribution) of the prediction errors
| Test | Models | |||||
|---|---|---|---|---|---|---|
| CIR# | HW | EWMA | ARIMA-EGARCH* | SARIMA* | DNNAR* | |
| White p-value | 0.1841 | 0.2524 | 0.2066 | 0.0921 | 4.5325 × 10−4 | 0.6716 |
| KS p-value | 2.5537 × 10−9 | 4.7863 × 10−10 | 1.0881 × 10−9 | 1.3574 × 10−9 | 8.7524 × 10−7 | 1.3455 × 10−5 |
| Test | Models | |||||
|---|---|---|---|---|---|---|
| CIR# | HW | EWMA | ARIMA-EGARCH* | SARIMA* | DNNAR* | |
| White | 0.1841 | 0.2524 | 0.2066 | 0.0921 | 4.5325 × 10−4 | 0.6716 |
| KS | 2.5537 × 10−9 | 4.7863 × 10−10 | 1.0881 × 10−9 | 1.3574 × 10−9 | 8.7524 × 10−7 | 1.3455 × 10−5 |
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