AUTOCORRELATION LEVELS (d)

Models

T = 32

T = 64

RMSE

MAE

RMSE

MAE

−0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

18.51937

13.44155

13.39895

12.029086

11.170522

15.32571

11.20306

11.13304

9.707249

8.978522

22.47805

16.85493

16.45158

14.19239

13.9217

18.50490

13.96209

13.60912

11.53329

11.4063

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

11.59479

8.204827

8.207244

8.372768

8.048093

9.37044

6.620134

6.605890

6.617752

6.376259

11.235892

9.048921

8.931793

9.034040

8.753774

9.146275

7.125616

7.063148

7.141074

6.974093

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

8.378650

6.167595

6.157462

6.380995

6.270225

6.574879

4.886693

4.850431

4.925847

4.876456

6.999085

6.645625

6.518469

6.673274

6.362430

5.643608

5.109532

5.025112

5.135679

4.949103

-0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.716131

5.177526

5.192059

5.483297

5.323288

4.613260

4.067993

4.051523

4.192094

4.089317

5.245832

5.598164

5.465794

5.641280

5.268442

4.195248

4.270608

4.176788

4.294666

4.041161

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.573355

4.579310

4.612613

4.928052

4.768427

3.688970

3.582714

3.584074

3.755175

3.644363

4.111588

5.007763

4.848271

5.043621

4.672554

3.267457

3.813774

3.692432

3.826875

3.565822

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.911991

3.061780

3.029923

2.968358

2.896568

2.226130

2.446032

2.419689

2.389509

2.324630

2.364223

2.960311

2.900026

2.923218

2.789921

1.830622

2.404376

2.352158

2.387972

2.270791

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.664264

3.321767

3.317626

3.174913

3.113732

2.842395

2.670342

2.671295

2.571598

2.516620

2.819089

3.253465

3.186185

3.127688

3.020891

2.209700

2.647904

2.588476

2.558588

2.463131

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.941591

3.729089

3.725952

3.524312

3.471619

3.819592

3.031137

3.034129

2.877726

2.827012

3.709760

3.710443

3.656403

3.507946

3.405919

2.977056

3.030718

2.984484

2.876968

2.781972

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

8.949051

4.384650

4.340558

4.099345

4.094079

6.335658

3.619267

3.572655

3.386899

3.381934

6.951095

4.793900

4.687418

4.433082

4.378921

5.454921

3.963677

3.859172

3.662572

3.606226

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

9.886464

4.964834

5.000935

4.812514

4.79703

7.534475

4.104314

4.135764

3.998640

3.98559

11.759527

6.687535

6.650984

6.250987

6.314432

9.301805

5.596650

5.553134

5.223581

5.270220