Evaluation Criteria | ARIMA (2,1,1)- GARCH (1,0)-std Model | ARIMA (2,1,1)- GARCH (2,0)-std Model | ARIMA (2,1,1)- GARCH (1,1)-norm Model | ARIMA (2,1,1)- EGARCH (1,1)- norm Model | ARIMA (2,1,1)- EGARCH (1,1)- std Model |
MAE | 0.019999 | 0.022278 | 0.020026 | 0.019986 | 0.020047 |
MSE | 0.000629 | 0.000772 | 0.000634 | 0.000628 | 0.000636 |
RMSE | 0.025084 | 0.027785 | 0.025179 | 0.025078 | 0.025218 |