Table 3 Results of the VAR and VECM for OHLC data of Kweichow Moutai

MAPE

 \(x^{(o)}_t\)

1.602%

1.002%

0.759%

1.602%

0.940%

0.677%

1.600%

0.831%

0.617%

 \(x^{(h)}_t\)

1.378%

1.418%

1.348%

1.376%

1.353%

1.300%

1.377%

1.297%

1.267%

 \(x^{(l)}_t\)

1.378%

1.269%

1.315%

1.377%

1.240%

1.207%

1.381%

1.191%

1.147%

 \(x^{(c)}_t\)

1.486%

1.765%

1.773%

1.485%

1.709%

1.689%

1.488%

1.667%

1.626%

 \(\bar{x}_{t}\)

1.461%

1.363%

1.299%

1.460%

1.310%

1.218%

1.461%

1.247%

1.164%

RMSE

 \(x^{(o)}_t\)

42.207

29.651

26.959

42.307

24.220

22.981

42.408

22.328

21.309

 \(x^{(h)}_t\)

36.205

37.646

40.406

36.291

35.714

36.262

36.378

33.639

34.585

 \(x^{(l)}_t\)

36.049

34.708

37.354

36.135

31.826

33.037

36.221

31.121

30.930

 \(x^{(c)}_t\)

40.772

47.770

50.991

40.869

45.643

46.073

40.967

44.628

44.452

 \(\bar{x}_{t}\)

38.808

37.443

38.928

38.900

34.351

34.588

38.994

32.929

32.819

RMSEH

44.329

44.639

47.777

44.435

42.153

42.657

44.541

39.988

40.560

AR

0.411

0.419

0.412

0.411

0.442

0.441

0.411

0.454

0.459

VAR Ratio

-

8.40%

5.53%

-

12.96%

5.98%

-

1.37%

2.35%

VECM Ratio

-

91.60%

94.47%

-

87.04%

94.02%

-

98.63%

97.65%

Failure 1

0

0

0

0

0

0

0

0

0

Failure 2

0

0

9

0

0

9

0

0

7

Failure 3

0

0

434

0

0

452

0

0

144