Dataset | VAR-DCC-EGARCH-ANN | VAR-DCC-EGARCH | ||||
---|---|---|---|---|---|---|
MSE | RMSE | MAE | MSE | RMSE | MAE | |
Period1 (before COVID-19 pandemic) | ||||||
Bitcoin | 0.000026089 | 0.005108 | 0.003411 | 0.00117400 | 0.03426744 | 0.03034314 |
Gold | 0.000000076 | 0.000275 | 0.000220 | 0.00001240 | 0.003528292 | 0.003044117 |
Nasdaq | 0.000001617 | 0.001272 | 0.000881 | 0.00001820 | 0.004267842 | 0.003676526 |
S&P 500 | 0.000001683 | 0.001297 | 0.000812 | 0.00001440 | 0.003796188 | 0.003218779 |
Dow Jones | 0.000001807 | 0.001344 | 0.000825 | 0.00001370 | 0.003707861 | 0.00332193 |
Period2 (during COVID-19 pandemic) | ||||||
Bitcoin | 0.000028617 | 0.005349 | 0.003645 | 0.00088700 | 0.02978193 | 0.02744027 |
Gold | 0.000000036 | 0.000190 | 0.000144 | 0.00002370 | 0.004872922 | 0.004061426 |
Nasdaq | 0.000000253 | 0.000503 | 0.000348 | 0.00004420 | 0.006650467 | 0.006218502 |
S&P 500 | 0.000001295 | 0.001138 | 0.000984 | 0.00003500 | 0.005916059 | 0.005481902 |
Dow Jones | 0.000000828 | 0.000910 | 0.000722 | 0.00004080 | 0.00638405 | 0.005475558 |