| HAR | HAR-G | CARR | GARCH | GJR-GARCH | EGARCH | FIGARCH | FIEGARCH | Risk-Metrics | |
| EUR/USD | |||||||||
| MSE | 1.000 | 0.000 | 0.000 | 0.207 | 0.599 | 0.525 | 0.006 | 0.028 | 0.458 |
| MAE | 1.000 | 0.000 | 0.000 | 0.274 | 0.328 | 0.387 | 0.027 | 0.024 | 0.682 |
| HMSE | 1.000 | 0.004 | 0.000 | 0.013 | 0.028 | 0.007 | 0.037 | 0.017 | 0.026 |
| HMAE | 1.000 | 0.000 | 0.000 | 0.002 | 0.002 | 0.000 | 0.002 | 0.000 | 0.022 |
| LL | 0.935 | 0.000 | 0.000 | 0.463 | 0.857 | 0.787 | 0.007 | 0.009 | 1.000 |