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 | 0.0297* | 0.0258 | 0.0232* | 19.7553 | 17.7513* | 0.1139 | 0.0986* |
| 6 m | 0.0422 | 0.0371* | 0.0319 | 0.0282* | 24.3345 | 21.7370* | 0.1436 | 0.1249* |
| 9 m | 0.0459 | 0.0417* | 0.0351 | 0.0325* | 27.1057 | 25.2778* | 0.1584 | 0.1422* |
| 12 m | 0.0491 | 0.0458* | 0.0381 | 0.0360* | 29.5235 | 28.0641* | 0.1727 | 0.1583* |
AR(1) |
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| 3 m | 0.0341 | 0.0314* | 0.0258 | 0.0243* | 19.7553 | 18.7275* | 0.1139 | 0.1031* |
| 6 m | 0.0422 | 0.0396* | 0.0319 | 0.0300* | 24.3345 | 23.4934* | 0.1436 | 0.1327* |
| 9 m | 0.0459 | 0.0444* | 0.0351 | 0.0344* | 27.1057 | 27.3163 | 0.1584 | 0.1504* |
| 12 m | 0.0491 | 0.0458* | 0.0381 | 0.1583 | 29.5235 | 30.4585 | 0.1727 | 0.1666* |
ARMA(1, 1) |
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| 3 m | 0.0341 | 0.0299* | 0.0258 | 0.0232* | 19.7553 | 16.7393* | 0.1139 | 0.0899* |
| 6 m | 0.0422 | 0.0395* | 0.0319 | 0.0299* | 24.3345 | 23.3982* | 0.1436 | 0.1327* |
| 9 m | 0.0459 | 0.0443* | 0.0351 | 0.0344* | 27.1057 | 27.2125 | 0.1584 | 0.1505* |
| 12 m | 0.0491 | 0.0433* | 0.0381 | 0.1583 | 29.5235 | 30.4585 | 0.1727 | 0.1666* |
RW |
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| 3 m | 0.0341 | 0.0316* | 0.0258 | 0.0316 | 19.7553 | 18.7100* | 0.1139 | 0.1051* |
| 6 m | 0.0422 | 0.0395* | 0.0319 | 0.0296* | 24.3345 | 22.9353* | 0.1436 | 0.1333* |
| 9 m | 0.0459 | 0.0443* | 0.0351 | 0.0341* | 27.1057 | 26.6482* | 0.1584 | 0.1515* |
| 12 m | 0.0491 | 0.0486* | 0.0381 | 0.0380* | 29.5235 | 29.6799 | 0.1727 | 0.1686* |