Table 21.
Summary of performance ranking of the models for monthly return series
| Loss function | MAE | MAPE | RMSE | QLIKE | MSE | TOTAL | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performance/models | Best | Worst | Best | Worst | Best | Worst | Best | Worst | Best | Worst | Best | Worst |
| Recursive GARCH | 2 | 0 | 3 | 2 | 3 | 0 | 4 | 0 | 3 | 0 | 15 | 2 |
| Rolling window GARCH | 4 | 1 | 4 | 3 | 2 | 0 | 5 | 0 | 2 | 0 | 17 | 4 |
| Recursive EGARCH | 2 | 3 | 2 | 3 | 3 | 0 | 1 | 3 | 4 | 0 | 12 | 9 |
| Rolling window EGARCH | 2 | 1 | 3 | 2 | 3 | 2 | 2 | 1 | 3 | 1 | 13 | 7 |
| Recursive TGARCH | 0 | 2 | 1 | 2 | 0 | 3 | 0 | 3 | 0 | 3 | 1 | 13 |
| Rolling window TGARCH | 1 | 0 | 0 | 2 | 2 | 1 | 1 | 1 | 2 | 2 | 6 | 6 |
| Recursive GARCH-M | 5 | 0 | 1 | 3 | 2 | 0 | 5 | 2 | 1 | 0 | 14 | 5 |
| Rolling window GARCH-M | 1 | 6 | 1 | 1 | 1 | 3 | 0 | 5 | 1 | 3 | 4 | 18 |
| Recursive PGARCH | 1 | 5 | 3 | 0 | 2 | 7 | 0 | 2 | 2 | 7 | 8 | 21 |
| Rolling window PGARCH | 2 | 2 | 2 | 2 | 2 | 4 | 2 | 3 | 2 | 4 | 10 | 15 |