Training/testing | GARCH Model | GMDH Model |
---|
Linear kernel | Linear covariance kernel | Quadratic kernel |
---|
30/30 | 4.9346 | 3.69 | 57.22 | – |
100/30 | 3.7935 | 0.72 | 1.05 | – |
200/30 | 2.2102 | 0.70 | 0.69 | – |
300/30 | 1.8723 | 1.45 | 1.08 | 4.35 |
600/30 | 1.6315 | 0.87 | – | 0.62 |
300/60 | 1.9317 | 1.93 | 0.82 | – |
- Note: The training and testing numbers of samples for the GARCH model indicate the number of samples used for calculating the coefficients and then the number of returns predicted by the model. "–" indicates that these cases are not accepted in this study because their predicted results are greatly impacted by outliers