HAR | HAR-G | CARR | GARCH | GJR-GARCH | EGARCH | FIGARCH | FIEGARCH | Risk-Metrics | |
MSE | 0.031 | 0.032 | 0.312 | 0.033 | 0.033 | 0.033 | 0.037 | 0.034 | 0.033 |
MAE | 0.113 | 0.115 | 0.532 | 0.118 | 0.118 | 0.117 | 0.123 | 0.120 | 0.114 |
HMSE | 0.345 | 0.361 | 14.611 | 0.650 | 0.661 | 0.640 | 0.672 | 0.705 | 0.525 |
HMAE | 0.361 | 0.370 | 2.800 | 0.462 | 0.462 | 0.461 | 0.461 | 0.473 | 0.408 |
LL | 0.245 | 0.266 | 1.678 | 0.247 | 0.245 | 0.246 | 0.265 | 0.257 | 0.245 |