The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models

Financial Innovation

Table 7 The performance measures of the proposed models

Dataset	VAR-DCC-EGARCH-ANN			VAR-DCC-EGARCH
Dataset	MSE	RMSE	MAE	MSE	RMSE	MAE
Period1 (before COVID-19 pandemic)
Bitcoin	0.000026089	0.005108	0.003411	0.00117400	0.03426744	0.03034314
Gold	0.000000076	0.000275	0.000220	0.00001240	0.003528292	0.003044117
Nasdaq	0.000001617	0.001272	0.000881	0.00001820	0.004267842	0.003676526
S&P 500	0.000001683	0.001297	0.000812	0.00001440	0.003796188	0.003218779
Dow Jones	0.000001807	0.001344	0.000825	0.00001370	0.003707861	0.00332193
Period2 (during COVID-19 pandemic)
Bitcoin	0.000028617	0.005349	0.003645	0.00088700	0.02978193	0.02744027
Gold	0.000000036	0.000190	0.000144	0.00002370	0.004872922	0.004061426
Nasdaq	0.000000253	0.000503	0.000348	0.00004420	0.006650467	0.006218502
S&P 500	0.000001295	0.001138	0.000984	0.00003500	0.005916059	0.005481902
Dow Jones	0.000000828	0.000910	0.000722	0.00004080	0.00638405	0.005475558