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