| Loss functions criteria | Risk holding horizon | ||||
| 1 day | 5 days | 10 days | 22 days | 66 days | |
| MSE(10−9) |
|
|
|
|
|
| FIGARCH | 4.658 | 41.730 | 70.080 | 42.460 | 25.200 |
| GARCH | 6.269 | 41.680 | 67.650 | 44.580 | 57.700 |
| IGARCH | 5.684 | 41.740 | 68.370 | 43.600 | 42.330 |
| MAE(10−5) |
|
|
|
|
|
| FIGARCH | 6.825 | 14.480 | 16.400 | 13.700 | 12.850 |
| GARCH | 7.918 | 15.000 | 17.000 | 15.600 | 21.500 |
| IGARCH | 7.540 | 14.800 | 16.770 | 49.000 | 18.000 |
| RMSE(10−5) |
|
|
|
|
|
| FIGARCH | 6.825 | 14.480 | 16.400 | 13.710 | 12.850 |
| GARCH | 7.918 | 20.000 | 20.000 | 21.000 | 24.000 |
| IGARCH | 7.540 | 20.400 | 26.000 | 21.000 | 20.000 |
| TIC |
|
|
|
|
|
| FIGARCH | 0.433 | 0.564 | 0.612 | 0.564 | 0.539 |
| GARCH | 0.470 | 0.540 | 0.574 | 0.529 | 0.601 |
| IGARCH | 0.458 | 0.548 | 0.585 | 0.538 | 0.573 |