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Table 12 Comparison results of NoVaS-type, GARCH(1,1) and Exponential-GARCH(1,1) methods on forecasting 500 size simulated Model 6 data

From: A model-free approach to do long-term volatility forecasting and its variants

500 size

GE-NoVaS

GA-NoVaS

P-GA-NoVaS

GARCH-direct

EXP-GARCH

M8-1step

1.03388

1.02927

0.98002

1.00477

1.00000

M8-5steps

1.00765

1.01167

0.91506

0.98363

1.00000

M8-30steps

1.07155

1.06845

0.92544

1.03187

1.00000

  1. The benchmark is the EXP-GARCH(1,1) method, so numerical values in the table corresponding to this method are 1. Other numerical values are relative performance compared to the EXP-GARCH(1,1) method. This table is also based on the average result of 5 replications