Table 4 Results of the VAR and VECM for OHLC data of CSI 100
Criterion | q = 30 | q = 50 | q = 70 | ||||||
|---|---|---|---|---|---|---|---|---|---|
Naive | Yes | No | Naive | Yes | No | Naive | Yes | No | |
MAPE | Â | Â | Â | Â | Â | Â | Â | Â | Â |
 \(x^{(o)}_t\) | 1.310% | 0.796% | 0.641% | 1.314% | 0.728% | 0.562% | 1.317% | 0.693% | 0.512% |
 \(x^{(h)}_t\) | 1.054% | 0.996% | 0.973% | 1.057% | 0.961% | 0.919% | 1.060% | 0.937% | 0.887% |
 \(x^{(l)}_t\) | 1.177% | 1.054% | 1.061% | 1.179% | 1.003% | 0.975% | 1.182% | 1.001% | 0.935% |
 \(x^{(c)}_t\) | 1.223% | 1.436% | 1.452% | 1.227% | 1.395% | 1.357% | 1.229% | 1.378% | 1.322% |
 \(\bar{x}_{t}\) | 1.191% | 1.070% | 1.032% | 1.194% | 1.022% | 0.953% | 1.197% | 1.002% | 0.914% |
RMSE | Â | Â | Â | Â | Â | Â | Â | Â | Â |
 \(x^{(o)}_t\) | 61.400 | 40.557 | 35.927 | 61.586 | 36.477 | 31.117 | 61.770 | 34.748 | 28.773 |
 \(x^{(h)}_t\) | 48.781 | 46.347 | 45.321 | 48.928 | 43.774 | 42.415 | 49.076 | 43.027 | 40.248 |
 \(x^{(l)}_t\) | 55.653 | 51.616 | 51.660 | 55.820 | 47.804 | 47.266 | 55.988 | 47.685 | 45.184 |
 \(x^{(c)}_t\) | 57.773 | 67.857 | 68.388 | 57.947 | 64.767 | 64.498 | 58.122 | 64.260 | 62.213 |
 \(\bar{x}_{t}\) | 55.902 | 51.594 | 50.324 | 56.070 | 48.198 | 46.324 | 56.239 | 47.430 | 44.104 |
RMSEH | 64.021 | 60.486 | 60.158 | 64.212 | 55.994 | 55.272 | 64.406 | 55.719 | 52.732 |
AR | 0.370 | 0.395 | 0.403 | 0.370 | 0.417 | 0.431 | 0.371 | 0.428 | 0.448 |
VAR Ratio | - | 6.80% | 5.94% | - | 10.90% | 3.61% | - | 0.88% | 2.63% |
VECM Ratio | - | 93.20% | 94.06% | - | 89.10% | 96.39% | - | 99.12% | 97.37% |
Failure 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Failure 2 | 0 | 0 | 7 | 0 | 0 | 3 | 0 | 0 | 1 |
Failure 3 | 0 | 0 | 379 | 0 | 0 | 285 | 0 | 0 | 106 |