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 |