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