Loss functions criteria | Risk holding horizon | ||||
1 day | 5 days | 10 days | 22 days | 66 days | |
MSE(10−10) |
|
|
|
|
|
FIGARCH | 2.935 | 91.290 | 47.590 | 24.180 | 16.310 |
GARCH | 4.421 | 89.340 | 47.710 | 26.370 | 25.600 |
IGARCH | 4.198 | 89.810 | 47.650 | 25.640 | 21.250 |
MAE(10−5) |
|
|
|
|
|
FIGARCH | 1.713 | 5.590 | 3.782 | 2.897 | 2.914 |
GARCH | 2.103 | 5.645 | 4.058 | 3.439 | 4.299 |
IGARCH | 2.049 | 9.452 | 3.994 | 3.286 | 3.767 |
RMSE(10−5) |
|
|
|
|
|
FIGARCH | 1.713 | 9.555 | 6.899 | 4.918 | 4.038 |
GARCH | 2.103 | 9.477 | 6.907 | 5.135 | 5.059 |
IGARCH | 2.049 | 1.475 | 6.903 | 5.063 | 4.610 |
TIC |
|
|
|
|
|
FIGARCH | 0.979 | 0.779 | 0.743 | 0.707 | 0.653 |
GARCH | 0.983 | 0.749 | 0.712 | 0.671 | 0.651 |
IGARCH | 0.982 | 0.756 | 0.719 | 0.678 | 0.645 |