From: A model-free approach to do long-term volatility forecasting and its variants
2018 | GE | GA | P-GA | GARCH | 2019 | GE | GA | P-GA | GARCH |
---|---|---|---|---|---|---|---|---|---|
MCD-1step | 0.98514 | 0.97887 | 0.94412 | 1.00000 | MCD-1step | 0.95959 | 0.96348 | 0.94559 | 1.00000 |
MCD-5steps | 1.02720 | 1.02519 | 0.88151 | 1.00000 | MCD-5steps | 1.00723 | 1.01169 | 0.90602 | 1.00000 |
MCD-30steps | 0.62614 | 0.63992 | 0.61153 | 1.00000 | MCD-30steps | 1.05239 | 0.95714 | 0.77976 | 1.00000 |
AAPL-1step | 0.92014 | 0.92317 | 0.89283 | 1.00000 | AAPL-1step | 0.84533 | 0.81326 | 0.81872 | 1.00000 |
AAPL-5steps | 0.84798 | 0.73461* | 0.71233 | 1.00000 | AAPL-5steps | 0.85401 | 0.79254 | 0.68792 | 1.00000 |
AAPL-30steps | 0.38612 | 0.36324 | 0.37081 | 1.00000 | AAPL-30steps | 0.99043 | 0.99286 | 0.72892 | 1.00000 |
BAC-1step | 0.94952 | 0.93842 | 0.92619 | 1.00000 | BAC-1step | 1.04272 | 1.04722 | 0.98605 | 1.00000 |
BAC-5steps | 0.83395 | 0.79158 | 0.72512 | 1.00000 | BAC-5steps | 1.22761 | 1.20195 | 0.95436 | 1.00000 |
BAC-30steps | 1.34367 | 0.90675* | 0.87630 | 1.00000 | BAC-30steps | 1.45020 | 1.41788 | 1.03482 | 1.00000 |
MSFT-1step | 0.91705 | 0.90936 | 0.95921 | 1.00000 | MSFT-1step | 1.03308 | 1.00101 | 0.95347 | 1.00000 |
MSFT-5steps | 0.74553 | 0.74267 | 0.74237 | 1.00000 | MSFT-5steps | 1.22340 | 1.18205 | 0.95417 | 1.00000 |
MSFT-30steps | 0.66990 | 0.64770 | 0.64717 | 1.00000 | MSFT-30steps | 1.23020 | 1.21337 | 0.98476 | 1.00000 |
Tesla-1step | 1.00181 | 0.96074 | 0.86238 | 1.00000 | Tesla-1step | 1.00428 | 1.01934 | 0.98955 | 1.00000 |
Tesla-5steps | 1.20383 | 1.13335 | 1.01560 | 1.00000 | Tesla-5steps | 1.06610 | 1.07506 | 0.96107 | 1.00000 |
Tesla-30steps | 1.97328 | 1.84871 | 1.25005 | 1.00000 | Tesla-30steps | 2.00623 | 1.71782* | 0.84366 | 1.00000 |
Bitcoin-1step | 0.99636 | 1.01731 | 0.97734 | 1.00000 | Bitcoin-1step | 0.89929 | 0.88914 | 0.87256 | 1.00000 |
Bitcoin-5steps | 1.02021 | 1.11880 | 0.93826 | 1.00000 | Bitcoin-5steps | 0.62312 | 0.63075 | 0.56789 | 1.00000 |
Bitcoin-30steps | 0.86649 | 0.95506 | 0.91364 | 1.00000 | Bitcoin-30steps | 0.00733 | 0.00749 | 0.00631 | 1.00000 |