CARR | CARR-B | GARCH | GARCH-B | |
S&P 500 | ||||
MSE | 2.663 | 2.602 | 8.484 | 2.553 |
MAE | 1.103 | 1.063 | 5.686 | 1.411 |
LL | 1.351 | 1.329 | 6.077 | 1.963 |
QLIKE | 2.407 | 2.339 | 15.826 | 3.869 |
FTSE 100 | ||||
MSE | 3.380 | 3.335 | 9.266 | 16.431 |
MAE | 1.323 | 1.279 | 6.405 | 11.388 |
LL | 1.267 | 1.219 | 5.276 | 5.947 |
QLIKE | 2.400 | 2.295 | 12.483 | 17.117 |
SZSEC | ||||
MSE | 2.830 | 2.812 | 22.399 | 22.399 |
MAE | 1.463 | 1.417 | 15.093 | 15.093 |
LL | 1.180 | 1.114 | 7.466 | 7.466 |
QLIKE | 2.465 | 2.329 | 22.060 | 22.060 |
FBMKLCI | ||||
MSE | 0.891 | 0.792 | 4.926 | 4.156 |
MAE | 0.415 | 0.345 | 3.358 | 2.650 |
LL | 1.615 | 1.335 | 7.840 | 6.506 |
QLIKE | 1.998 | 1.279 | 20.024 | 15.076 |