Loss functions criteria

Risk holding horizon

1 day

5 days

10 days

22 days

66 days

MSE(10−10)

FIGARCH

2.935

91.290

47.590

24.180

16.310

GARCH

4.421

89.340

47.710

26.370

25.600

IGARCH

4.198

89.810

47.650

25.640

21.250

MAE(10−5)

FIGARCH

1.713

5.590

3.782

2.897

2.914

GARCH

2.103

5.645

4.058

3.439

4.299

IGARCH

2.049

9.452

3.994

3.286

3.767

RMSE(10−5)

FIGARCH

1.713

9.555

6.899

4.918

4.038

GARCH

2.103

9.477

6.907

5.135

5.059

IGARCH

2.049

1.475

6.903

5.063

4.610

TIC

FIGARCH

0.979

0.779

0.743

0.707

0.653

GARCH

0.983

0.749

0.712

0.671

0.651

IGARCH

0.982

0.756

0.719

0.678

0.645