Loss functions criteria | Risk holding horizon | ||||
1 day | 5 days | 10 days | 22 days | 66 days | |
MSE(10−10) |
|
|
|
|
|
FIGARCH | 1.013 | 1.661 | 1.916 | 1.645 | 23.820 |
GARCH | 6.709 | 24.93 | 210 | 63420 | 2.852e+14 |
IGARCH | 1.911 | 2.177 | 2.417 | 3.306 | 11.100 |
MAE(10−5) |
|
|
|
|
|
FIGARCH | 1.006 | 1.230 | 1.241 | 1.146 | 1.393 |
GARCH | 2.590 | 4.263 | 11.000 | 146.8 | 57.28e+05 |
IGARCH | 1.383 | 1.468 | 1.507 | 1.709 | 3.043 |
RMSE(10−5) |
|
|
|
|
|
FIGARCH | 1.006 | 1.289 | 1.384 | 1.283 | 1.543 |
GARCH | 2.590 | 4.993 | 14.49 | 251.800 | 168.9e+05 |
IGARCH | 1.383 | 1.475 | 1.555 | 1.818 | 3.331 |
TIC |
|
|
|
|
|
FIGARCH | 0.924 | 0.492 | 0.467 | 0.462 | 0.489 |
GARCH | 0.969 | 0.734 | 0.854 | 0.993 | 1 |
IGARCH | 0.944 | 0.494 | 0.457 | 0.521 | 0.651 |