From: How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Group | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) |
---|---|---|---|---|---|---|---|---|---|
a1 | 0.1 | 0.4 | 0.8 | 0.1 | 0.4 | 0.8 | 0.1 | 0.4 | 0.8 |
σ | 0.01 | 0.01 | 0.01 | 0.02 | 0.02 | 0.02 | 0.03 | 0.03 | 0.03 |
σg | 0.0100 | 0.0103 | 0.0128 | 0.0200 | 0.0207 | 0.0257 | 0.0301 | 0.0310 | 0.0385 |
σsimul | 0.0101 | 0.0102 | 0.0128 | 0.0203 | 0.0206 | 0.0255 | 0.0301 | 0.0314 | 0.0381 |