Strategy | No transaction costs | Transaction costs of 0.1% | Transaction costs of 0.5% |
Buy and hold | 3% |
|
|
GARCH | 4.5%/87.7% | 4.8%/91.2% | 4.9%/94.5% |
ARMAX | 5.7%/98% | 5.8%/98.5% | 5.1%/96.9% |
ARX | 5.9%/98.2% | 5.8%/98.1% | 5.9%/98.6% |
ARMA | 3.6%/66.5% | 3.6%/66% | 3.5%/64.4% |
GARCH (short) | 6.1%/95.2% | 6.5%/96.3% | 9.9%/99.9% |
ARMAX (short) | 8.4%/99.8% | 8.5%/99.8% | 10.3%/100% |
ARX (short) | 8.7%/99.9% | 9.1%/99.9% | 9.6%/100% |
ARMA (short) | 4.2%/74% | 4.2%/74% | 4.2%/72.6% |