Method of FV | Horizon | RMSE_RW | RMSE | MAE_RW | MAE | MAPE_RW | MAPE | THEIL_RW | THEIL |
In-Sample |
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| 3 m | 0.0341 | 0.0289* | 0.0258 | 0.0221* | 19.7553 | 16.8073* | 0.1139 | 0.0970* |
| 6 m | 0.0422 | 0.0359* | 0.0319 | 0.0267* | 24.3345 | 20.3970* | 0.1436 | 0.1228* |
| 9 m | 0.0459 | 0.0406* | 0.0351 | 0.0309* | 27.1057 | 23.5763* | 0.1584 | 0.1412* |
| 12 m | 0.0491 | 0.0445* | 0.0381 | 0.0345* | 29.5235 | 26.0723* | 0.1727 | 0.1574* |
AR(1) |
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| 3 m | 0.0341 | 0.0309* | 0.0258 | 0.0234* | 19.7553 | 17.9228* | 0.1139 | 0.1036* |
| 6 m | 0.0422 | 0.0385* | 0.0319 | 0.0285* | 24.3345 | 22.0458* | 0.1436 | 0.1315* |
| 9 m | 0.0459 | 0.0435* | 0.0351 | 0.0331* | 27.1057 | 25.6278* | 0.1584 | 0.1508* |
| 12 m | 0.0467 | 0.0469 | 0.0359 | 0.0360 | 26.6700 | 26.0377* | 0.1443 | 0.1483 |
ARMA(1, 1) |
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| 3 m | 0.0341 | 0.0309* | 0.0258 | 0.0234* | 19.7553 | 17.9302* | 0.1139 | 0.1036* |
| 6 m | 0.0422 | 0.0385* | 0.0319 | 0.0285* | 24.3345 | 22.0642* | 0.1436 | 0.1315* |
| 9 m | 0.0459 | 0.0435* | 0.0351 | 0.0332* | 27.1057 | 25.6551* | 0.1584 | 0.1508* |
| 12 m | 0.0491 | 0.0476* | 0.0381 | 0.0370* | 29.5235 | 28.4387* | 0.1727 | 0.1674* |
RW |
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| 3 m | 0.0341 | 0.0309* | 0.0258 | 0.0233* | 19.7553 | 17.7198* | 0.1139 | 0.1038* |
| 6 m | 0.0422 | 0.0385* | 0.0319 | 0.0282* | 24.3345 | 21.5511* | 0.1436 | 0.1321* |
| 9 m | 0.0459 | 0.0435* | 0.0351 | 0.0328* | 27.1057 | 25.0227* | 0.1584 | 0.1519* |
| 12 m | 0.0467 | 0.0467* | 0.0359 | 0.0357* | 26.6700 | 25.5167* | 0.1443 | 0.1490 |