AUTOCORRELATION LEVELS (d) | Models | T = 128 | T = 256 | ||
RMSE | MAE | RMSE | MAE | ||
−0.99 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 25.29136 18.97229 18.42898 18.01198 19.21266 | 20.57803 15.49887 15.04846 14.71195 15.78985 | 24.89353 20.52371 20.34156 22.94825 25.37395 | 20.27533 16.50237 16.36560 18.66869 20.58512 |
−0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 10.608058 9.445834 9.157944 9.280705 9.130834 | 8.434172 7.330077 7.155402 7.288772 7.228411 | 9.521107 9.376191 9.161844 9.322954 9.377873 | 7.454405 7.226121 7.097149 7.246612 7.328429 |
−0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 6.416899 6.837341 6.498645 6.491610 6.226952 | 5.071596 5.195836 4.975510 4.994156 4.834336 | 6.055986 6.550906 6.257913 6.266058 6.128210 | 4.697850 4.979713 4.790203 4.815668 4.732092 |
−0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 4.721675 5.734427 5.363857 5.312746 4.982521 | 3.713432 4.332739 4.072418 4.049472 3.835193 | 4.645043 5.377073 5.007710 4.929922 4.755215 | 3.597282 4.066994 3.815148 3.772702 3.661254 |
−0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 3.858129 5.142641 4.739819 4.655187 4.269902 | 3.020307 3.881026 3.589527 3.535919 3.268957 | 3.80270 4.727391 4.298829 4.19855 3.957584 | 2.94512 3.570719 3.266398 3.20381 3.042249 |
0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 2.218726 3.124369 2.950443 2.972579 2.68660 | 1.720205 2.580126 2.428861 2.455268 2.19352 | 2.176999 3.226327 2.828942 2.722261 2.427032 | 1.695073 2.693960 2.337125 2.238176 1.950018 |
0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 2.519725 3.339102 3.172200 3.170801 2.913734 | 1.970158 2.754286 2.605337 2.611133 2.369758 | 2.482135 3.427334 3.054614 2.959596 2.691089 | 1.938329 2.852653 2.509326 2.419124 2.154252 |
0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 3.147020 3.733826 3.577652 3.552882 3.324255 | 2.498148 3.072094 2.924736 2.914901 2.694440 | 3.016211 3.797471 3.472985 3.379560 3.154451 | 2.370721 3.135458 2.827289 2.738709 2.516101 |
0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 5.099671 4.768778 4.651729 4.518151 4.360350 | 4.142258 3.913935 3.797358 3.696097 3.533585 | 4.452966 4.735043 4.479936 4.413060 4.253486 | 3.562149 3.860720 3.608397 3.545852 3.388638 |
0.99 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 13.44323 8.303355 8.035857 7.899572 7.789944 | 11.03769 6.915693 6.681232 6.569464 6.479641 | 12.76596 9.126759 9.071670 9.094940 9.031439 | 10.67239 7.511420 7.436501 7.440822 7.446020 |