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Financial Innovation

Table 3 In-sample model fit comparison criteria

From: Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods

Criteria

MAE × 102

Period

Pre-COVID-19

COVID-19

Model

LMM

GAM

Tv-LMM

LMM

GAM

Tv-LMM

 BPI

1.026

0.995

0.693

0.977

0.947

0.498

 ETH

1.056

1.047

0.710

1.061

1.017

0.594

 XRP

1.231

1.231

0.765

1.003

1.004

0.776

 BCH

1.631

1.560

1.162

1.267

1.228

1.008

 BNB

2.171

2.162

1.996

1.623

1.606

1.599

 LINK

3.843

3.818

3.694

3.006

2.997

2.387

 CRO

3.602

3.602

3.600

1.777

1.772

1.654

 LTC

1.580

1.573

1.321

1.141

1.101

0.910

 BSV

3.073

2.844

2.145

1.614

1.521

0.783

 ADA

1.651

1.640

1.517

1.920

1.911

1.810

 Average

2.086

2.047

1.760

1.539

1.510

1.202

Criteria

MSE × 104

Period

Pre-COVID-19

COVID-19

Model

LMM

GAM

Tv-LMM

LMM

GAM

Tv-LMM

 BPI

2.373

2.245

1.058

1.748

1.692

0.476

 ETH

2.532

2.485

1.134

2.163

2.003

0.694

 XRP

3.793

3.689

1.330

2.291

2.291

1.414

 BCH

6.765

6.140

3.410

3.135

2.944

1.979

 BNB

8.923

8.756

7.625

6.151

6.071

6.030

 LINK

31.317

30.971

29.183

18.686

18.521

11.819

 CRO

51.187

51.187

51.180

6.543

6.511

5.641

 LTC

5.296

5.260

3.445

2.618

2.433

1.597

 BSV

38.860

30.440

18.874

5.975

5.375

1.322

 ADA

5.181

5.001

4.300

8.538

8.468

7.484

 Average

15.623

14.617

12.154

5.785

5.631

3.846

  1. Bold values indicate the best modeling performance for cryptocurrency price in terms of the lowest MAE and MSE, respectively
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