Table 5.
Out-of-sample forecasting comparison criteria (7-day ahead forward prediction)
| Criteria | MAE × 102 | |||||
|---|---|---|---|---|---|---|
| Period | Pre-COVID-19 | COVID-19 | ||||
| Model | LMM | GAM | Tv-LMM | LMM | GAM | Tv-LMM |
| BPI | 0.707 | 0.785 | 0.404 | 0.898 | 0.883 | 0.526 |
| ETH | 1.530 | 1.560 | 0.921 | 0.628 | 0.607 | 0.423 |
| XRP | 1.467 | 1.419 | 1.022 | 0.844 | 0.840 | 0.714 |
| BCH | 1.419 | 1.592 | 0.699 | 1.311 | 1.324 | 1.143 |
| BNB | 1.782 | 1.714 | 1.547 | 1.628 | 1.626 | 1.533 |
| LINK | 4.173 | 4.057 | 3.708 | 1.925 | 1.917 | 1.544 |
| CRO | 1.777 | 1.730 | 1.592 | 2.721 | 2.721 | 2.576 |
| LTC | 1.217 | 1.231 | 0.744 | 1.374 | 1.384 | 1.067 |
| BSV | 3.621 | 2.982 | 2.161 | 1.156 | 1.157 | 0.777 |
| ADA | 1.278 | 1.391 | 0.843 | 1.147 | 1.147 | 1.092 |
| Average | 1.897 | 1.846 | 1.364 | 1.363 | 1.361 | 1.140 |
| Criteria | MSE × 104 | |||||
|---|---|---|---|---|---|---|
| Period | Pre-COVID-19 | COVID-19 | ||||
| Model | LMM | GAM | Tv-LMM | LMM | GAM | Tv-LMM |
| BPI | 0.915 | 0.997 | 0.326 | 1.572 | 1.484 | 0.599 |
| ETH | 4.624 | 4.562 | 1.655 | 0.648 | 0.630 | 0.311 |
| XRP | 4.502 | 4.268 | 2.969 | 1.405 | 1.405 | 1.061 |
| BCH | 3.416 | 3.974 | 0.978 | 3.890 | 3.694 | 3.004 |
| BNB | 6.407 | 5.970 | 4.974 | 4.848 | 4.800 | 4.376 |
| LINK | 28.587 | 26.649 | 21.910 | 6.483 | 6.455 | 3.806 |
| CRO | 6.227 | 5.890 | 4.811 | 17.441 | 17.441 | 15.062 |
| LTC | 3.100 | 3.042 | 1.224 | 3.681 | 3.700 | 1.869 |
| BSV | 21.565 | 17.346 | 11.769 | 2.588 | 2.593 | 1.323 |
| ADA | 2.585 | 2.809 | 1.064 | 2.333 | 2.333 | 2.067 |
| Average | 8.193 | 7.551 | 5.168 | 4.489 | 4.454 | 3.348 |
Bold values indicate the best predictability performance for cryptocurrency price in terms of the lowest MAE and MSE, respectively