Table 7 The numbers of cryptocurrencies that reject the null hypothesis in terms of the MAE and MSE criteria out-of-sample procedure during the pre-COVID-19 and COVID-19 periods
Period | Pre-COVID-19 | COVID-19 | |||
|---|---|---|---|---|---|
Model | GAM | Tv-LMM | GAM | Tv-LMM | |
1-day ahead forecast | |||||
MAE | |||||
 LMM | 2 | 10 | 1 | 7 | |
 GAM |  | 8 |  | 7 | |
MSE | |||||
 LMM | 2 | 6 | 1 | 7 | |
 GAM |  | 6 |  | 7 | |
7-day ahead forecast | |||||
MAE | |||||
 LMM | 8 | 10 | 3 | 10 | |
 GAM |  | 10 |  | 10 | |
MSE | |||||
 LMM | 7 | 10 | 3 | 10 | |
 GAM |  |  | 10 |  | 10 |