Forecasting of Global Market Prices of Major Financial Instruments

Table 10

Comparison of forecast errors of ARIMA and GARCH models.

Var	Model	RMSE	MAE	MAPE
AD	ARIMA	0.04212392	0.04095	0.051284
	GARCH	0.0172119	0.0140733	0.017524
	TGARCH	0.01727751	0.01415	0.01762
	APARCH	0.0172308	0.0140967	0.017553
	EGARCH	0.0173292	0.01421	0.017695
C	ARIMA	51.75245	51.37237	0.122862
	GARCH	8.127884	6.27	0.014797
	TGARCH	4.837027	4.03	0.009562
	APARCH	4.587574	3.86	0.009168
	EGARCH	4.915537	4.08	0.009677
CL	ARIMA	11.17219	10.99426	0.175763
	GARCH	4.433551	3.954667	0.062562
	TGARCH	3.809162	3.417	0.054092
	APARCH	3.638178	3.283667	0.052027
	EGARCH	3.736444	3.361333	0.05323
ES	ARIMA	34.4467	31.3007	0.257851
	GARCH	22.56083	21.91637	0.023232
	TGARCH	22.56083	21.91637	0.023232
	APARCH	22.56083	21.91637	0.023232
	EGARCH	22.56083	21.91637	0.023232
FC	ARIMA	5.555951	4.9999	0.032833
	GARCH	3.06689	2.6325	0.017276
	TGARCH	3.687815	3.179167	0.020851
	APARCH	3.086121	2.6525	0.017407
	EGARCH	3.645199	3.145833	0.020634
GC	ARIMA	59.91122	58.428	0.042608
	GARCH	49.77807	47.07333	0.034301
	TGARCH	41.07177	38.57333	0.028094
	APARCH	40.27832	37.80667	0.027535
	EGARCH	35.46411	32.87333	0.023931
KC	ARIMA	27.52059	27.39157	0.197089
	GARCH	3.875392	3.603333	0.026005
	TGARCH	9.795952	8.923333	0.064539
	APARCH	10.33573	9.393333	0.067943
	EGARCH	4.665083	4.36	0.031484
US	ARIMA	5.048745	4.32146	0.030222
	GARCH	4.201997	3.549167	0.024834
	TGARCH	4.160593	3.515833	0.0246
	APARCH	4.245958	3.589167	0.025113
	EGARCH	4.184399	3.535833	0.024741