Financial Innovation

Table 8 Comparison of models in out of sample forecasting accuracy

From: Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution

AR(2)-GARCH(1, 1)			AR(2)-APARCH(1, 1)		AR(2)-EGARCH(1, 1)		AR(2)-IGARCH(1, 1)
	Normal	Student’s t	Normal	Student’s t	Normal	Student’s t	Normal	Student’s t
RMSE	0.0184	0.0183	0.0183	0.0187	0.0182	0.0185	0.0192	0.0183
MAE	0.0093	0.0093	0.0094	0.0094	0.0093	0.0093	0.0110	0.0094
MAPE	42.8555	43.5405	43.0390	43.1409	43.5094	42.8045	45.7949	43.7528
TI	0.6858	0.6436	0.6656	0.7243	0.6438	0.6951	0.7056	0.6496

Back to article page