Model comparison
ARIMA vs. VAR/VECM vs. LSTM, each compared against a random-walk (naive) benchmark, at 1-day,
5-day, and 20-day forecast horizons. See the
direct written verdict for the conclusion — this
page is the supporting metrics table.
ARIMA
| Horizon | RMSE | MAE | DM stat vs. random walk | DM p-value |
|---|
| 1 day |
0.0117 |
0.0063 |
0.123 |
0.9058 |
| 5 day |
0.0708 |
0.0562 |
-1.265 |
0.2465 |
| 20 day |
0.1278 |
0.1050 |
-0.866 |
0.4150 |
LSTM
| Horizon | RMSE | MAE | DM stat vs. random walk | DM p-value |
|---|
| 1 day |
0.7568 |
0.5699 |
1.941 |
0.0934 |
| 5 day |
0.6866 |
0.5667 |
11.006 |
0.0000 |
| 20 day |
0.7991 |
0.6260 |
— |
— |
Random walk (naive)
| Horizon | RMSE | MAE | DM stat vs. random walk | DM p-value |
|---|
| 1 day |
0.0117 |
0.0063 |
— |
— |
| 5 day |
0.0708 |
0.0563 |
— |
— |
| 20 day |
0.1279 |
0.1050 |
— |
— |
VECM
| Horizon | RMSE | MAE | DM stat vs. random walk | DM p-value |
|---|
| 1 day |
0.0114 |
0.0064 |
-1.185 |
0.2745 |
| 5 day |
0.0708 |
0.0557 |
— |
— |
| 20 day |
0.1272 |
0.1009 |
— |
— |