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Table 2 Simulation results for Scenario 1 when\(q=40, 50, 70\)and\(m=1,2,3\)

From: A structural VAR and VECM modeling method for open-high-low-close data contained in candlestick chart

Criterion

q = 40

q = 50

q = 70

m = 1

m = 2

m = 3

m = 1

m = 2

m = 3

m = 1

m = 2

m = 3

MAPE

         

 \(x^{(o)}_t\)

3.73%

4.95%

5.41%

4.19%

4.82%

5.91%

3.58%

4.67%

5.80%

 \(x^{(h)}_t\)

3.75%

4.71%

4.92%

3.93%

4.65%

5.59%

3.43%

4.37%

5.23%

 \(x^{(l)}_t\)

4.30%

5.28%

6.28%

4.80%

5.17%

6.21%

4.60%

5.64%

6.81%

 \(x^{(c)}_t\)

3.69%

4.94%

5.53%

4.31%

4.87%

5.96%

3.58%

4.67%

5.70%

SD

         

 \(x^{(o)}_t\)

0.115

0.122

0.115

0.127

0.127

0.122

0.104

0.105

0.104

 \(x^{(h)}_t\)

0.126

0.138

0.130

0.150

0.147

0.143

0.123

0.123

0.122

 \(x^{(l)}_t\)

0.073

0.079

0.076

0.072

0.074

0.072

0.070

0.072

0.072

 \(x^{(c)}_t\)

0.112

0.123

0.116

0.131

0.129

0.126

0.103

0.104

0.104

RMSE

         

 \(x^{(o)}_t\)

0.073

0.096

0.108

0.081

0.093

0.110

0.067

0.088

0.106

 \(x^{(h)}_t\)

0.094

0.123

0.134

0.101

0.118

0.139

0.084

0.110

0.131

 \(x^{(l)}_t\)

0.052

0.067

0.075

0.059

0.065

0.076

0.055

0.068

0.081

 \(x^{(c)}_t\)

0.071

0.099

0.109

0.083

0.096

0.114

0.066

0.088

0.106

RMSEH

0.098

0.127

0.137

0.099

0.122

0.142

0.088

0.114

0.135

AR

0.891

0.868

0.858

0.886

0.872

0.849

0.895

0.871

0.848