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