AUTOCORRELATION LEVELS (d) | Models | T = 8 | T = 16 | ||
RMSE | MAE | RMSE | MAE | ||
−0.99 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 8.268939 7.988318 6.828580 6.696952 | N/A 6.159536 6.030353 5.532507 5.424807 | 15.61070 10.247713 9.777068 9.411352 9.101631 | 12.46684 8.557597 8.162389 7.511767 7.228307 |
−0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 6.868568 6.767191 5.970514 5.841910 | N/A 5.117551 5.096843 4.810123 4.712191 | 10.694678 7.565327 7.302214 7.124959 6.999561 | 8.404044 6.217715 6.018805 5.611988 5.492313 |
−0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 5.761336 5.686742 5.284131 5.155838 | N/A 4.313672 4.294434 4.217560 4.132914 | 8.227285 5.953596 5.797857 5.730219 5.671135 | 6.347241 4.825443 4.714364 4.458697 4.401618 |
−0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 5.053004 5.003829 4.778971 4.705957 | N/A 3.795841 3.777888 3.796238 3.752238 | 7.245699 5.050312 4.962080 4.941124 4.912545 | 5.314589 4.060008 4.000081 3.827773 3.795789 |
−0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 4.552127 4.532001 4.454912 4.425705 | N/A 3.429420 3.428232 3.518556 3.510317 | 5.570151 4.472638 4.41249 4.445870 4.435451 | 4.202644 3.566182 3.52623 3.433351 3.418151 |
0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 3.170552 3.206466 3.441772 3.462605 | N/A 2.328981 2.366413 2.677405 2.700449 | 4.604481 3.115189 3.134324 3.236948 3.195356 | 3.387338 2.402498 2.425714 2.572512 2.536710 |
0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 3.205167 3.224667 3.475158 3.472026 | N/A 2.351426 2.376088 2.707142 2.703957 | 5.298748 3.262307 3.264149 3.384553 3.340094 | 3.917063 2.539760 2.542133 2.711048 2.668608 |
0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 3.21618 3.241386 3.504280 3.512631 | N/A 2.36365 2.395118 2.731006 2.740081 | 8.085072 3.399855 3.426421 3.549209 3.497261 | 5.479093 2.660100 2.695679 2.858683 2.813078 |
0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 3.249457 3.253510 3.525785 3.534562 | N/A 2.389992 2.403027 2.745731 2.763094 | 8.57251 3.571661 3.617310 3.747034 3.718684 | 5.99339 2.810530 2.865264 3.044939 3.013547 |
0.99 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | N/A 3.252371 3.273087 3.521370 3.543619 | N/A 2.385865 2.411261 2.729458 2.759944 | 11.691166 3.709390 3.799228 3.897329 3.848584 | 7.641045 2.915292 3.014138 3.155196 3.111145 |