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Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Universal Journal of Finance and Economics
| Vol 2, Issue 1
Table 7. Automatic ETH-USD, BNB-USD, and BTC-USDForecasting
| Statistics | ETH-USD Estimation Period ARIMA (2,0,1) | BNB-USD Estimation Period ARIMA (0,1,2) | ETH-USD Estimation Period ARIMA (2,0,1) |
| RMSE | 75.7199 | 12.3127 | 1006.14 |
| MAE | 35.4007 | 4.44193 | 533.957 |
| MAPE | 3.60227 | 3.99979 | 2.81038 |
| ME | 1.53946 | 0.352958 | 7.64408 |
| MPE | -0.0608543 | 0.183015 | -0.261146 |