| A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z | |
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1 | OLD COINS: 1-DAY STEP AHEAD PROBABILITY OF DEATH (2016 -2017) | OLD COINS: 1-DAY STEP AHEAD PROBABILITY OF DEATH (2018 -2020) | ||||||||||||||||||||||||
2 | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | ||||||
3 | Logit (expanding window) | 0,76 | 0,72 | 0,76 | 0,039 | 0,168 | 0,210 | not included | not included | not included | Logit (expanding window) | 0,78 | 0,75 | 0,68 | 0,068 | 0,229 | 0,148 | not included | not included | not included | ||||||
4 | Probit (expanding window) | 0,71 | 0,69 | 0,76 | 0,056 | 0,188 | 0,219 | not included | not included | not included | Probit (expanding window) | 0,76 | 0,73 | 0,66 | 0,079 | 0,249 | 0,153 | not included | not included | not included | ||||||
5 | Cauchit (expanding window) | 0,80 | 0,83 | 0,81 | 0,033 | 0,107 | 0,157 | not included | not included | not included | Cauchit (expanding window) | 0,78 | 0,87 | 0,72 | 0,058 | 0,136 | 0,131 | not included | not included | not included | ||||||
6 | Random Forest (expanding window) | 0,97 | 0,96 | 0,96 | 0,010 | 0,038 | 0,064 | INCLUDED | INCLUDED | INCLUDED | Random Forest (expanding window) | 0,96 | 0,97 | 0,95 | 0,018 | 0,048 | 0,047 | INCLUDED | INCLUDED | INCLUDED | ||||||
7 | Logit (fixed window) | 0,77 | 0,81 | 0,80 | 0,036 | 0,109 | 0,157 | not included | not included | not included | Logit (fixed window) | 0,79 | 0,74 | 0,73 | 0,054 | 0,232 | 0,155 | not included | not included | not included | ||||||
8 | Probit (fixed window) | 0,71 | 0,69 | 0,79 | 0,048 | 0,173 | 0,166 | not included | not included | not included | Probit (fixed window) | 0,79 | 0,76 | 0,72 | 0,056 | 0,219 | 0,169 | not included | not included | not included | ||||||
9 | Cauchit (fixed window) | 0,81 | 0,84 | 0,82 | 0,031 | 0,100 | 0,133 | not included | not included | not included | Cauchit (fixed window) | 0,79 | 0,86 | 0,73 | 0,057 | 0,142 | 0,122 | not included | not included | not included | ||||||
10 | Random Forest (fixed window) | 0,93 | 0,92 | 0,90 | 0,015 | 0,055 | 0,084 | not included | not included | not included | Random Forest (fixed window) | 0,74 | 0,82 | 0,72 | 0,051 | 0,163 | 0,106 | not included | not included | not included | ||||||
11 | ZPP - Random walk | 0,81 | 0,76 | 0,72 | 0,045 | 0,134 | 0,202 | not included | not included | not included | ZPP - Random walk | 0,76 | 0,73 | 0,75 | 0,107 | 0,263 | 0,111 | not included | not included | not included | ||||||
12 | ZPP - Normal GARCH(1,1) | 0,60 | 0,60 | 0,65 | 0,038 | 0,131 | 0,203 | not included | not included | not included | ZPP - Normal GARCH(1,1) | 0,64 | 0,59 | 0,64 | 0,071 | 0,356 | 0,116 | not included | not included | not included | ||||||
13 | ZPP - Student'st GARCH(1,1) | 0,56 | 0,51 | 0,37 | 0,029 | 0,128 | 0,212 | not included | not included | not included | ZPP - Student'st GARCH(1,1) | 0,57 | 0,53 | 0,63 | 0,067 | 0,344 | 0,120 | not included | not included | not included | ||||||
14 | ZPP - GH Skew-Student GARCH(1,1) | 0,55 | 0,51 | 0,43 | 0,029 | 0,129 | 0,213 | not included | not included | not included | ZPP - GH Skew-Student GARCH(1,1) | 0,57 | 0,54 | 0,42 | 0,068 | 0,352 | 0,121 | not included | not included | not included | ||||||
15 | ZPP - MSGARCH(1,1) | 0,71 | 0,71 | 0,83 | 0,029 | 0,130 | 0,210 | not included | not included | not included | ZPP - MSGARCH(1,1) | 0,68 | 0,67 | 0,67 | 0,062 | 0,341 | 0,112 | not included | not included | not included | ||||||
16 | ZPP - D.R.(mod. Garman and Klass)RW | 0,54 | 0,52 | 0,58 | 0,030 | 0,132 | 0,214 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)RW | 0,53 | 0,52 | 0,57 | 0,067 | 0,380 | 0,128 | not included | not included | not included | ||||||
17 | ZPP - D.R.(mod. Garman and Klass)HAR | 0,70 | 0,70 | 0,72 | 0,044 | 0,134 | 0,205 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)HAR | 0,70 | 0,74 | 0,75 | 0,085 | 0,290 | 0,099 | not included | not included | not included | ||||||
18 | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,64 | 0,68 | 0,72 | 0,045 | 0,135 | 0,203 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,75 | 0,73 | 0,77 | 0,082 | 0,297 | 0,098 | not included | not included | not included | ||||||
19 | ZPP - D.R.(mod. Garman and Klass)CARR | 0,55 | 0,56 | 0,64 | 0,034 | 0,134 | 0,213 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)CARR | 0,66 | 0,62 | 0,66 | 0,065 | 0,371 | 0,123 | not included | not included | not included | ||||||
20 | ZPP - D.R.(Yang and Zhang)RW | 0,50 | 0,53 | 0,62 | 0,040 | 0,141 | 0,222 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)RW | 0,59 | 0,55 | 0,61 | 0,070 | 0,379 | 0,127 | not included | not included | not included | ||||||
21 | ZPP - D.R.(Yang and Zhang)HAR | 0,69 | 0,68 | 0,74 | 0,045 | 0,135 | 0,205 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)HAR | 0,71 | 0,73 | 0,75 | 0,084 | 0,294 | 0,098 | not included | not included | not included | ||||||
22 | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,65 | 0,64 | 0,73 | 0,045 | 0,134 | 0,204 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,75 | 0,72 | 0,80 | 0,083 | 0,300 | 0,097 | not included | not included | not included | ||||||
23 | ZPP - D.R.(Yang and Zhang)CARR | 0,55 | 0,55 | 0,65 | 0,039 | 0,138 | 0,216 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)CARR | 0,66 | 0,61 | 0,67 | 0,069 | 0,372 | 0,122 | not included | not included | not included | ||||||
24 | OLD COINS: 30-DAY STEP AHEAD PROBABILITY OF DEATH (2016-2017) | OLD COINS: 30-DAY STEP AHEAD PROBABILITY OF DEATH (2018-2020) | ||||||||||||||||||||||||
25 | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | ||||||
26 | Logit (expanding window) | 0,76 | 0,73 | 0,76 | 0,036 | 0,136 | 0,216 | not included | not included | not included | Logit (expanding window) | 0,76 | 0,75 | 0,67 | 0,056 | 0,207 | 0,146 | not included | not included | not included | ||||||
27 | Probit (expanding window) | 0,76 | 0,72 | 0,75 | 0,036 | 0,139 | 0,224 | not included | not included | not included | Probit (expanding window) | 0,75 | 0,70 | 0,66 | 0,056 | 0,221 | 0,151 | not included | not included | not included | ||||||
28 | Cauchit (expanding window) | 0,77 | 0,74 | 0,81 | 0,034 | 0,127 | 0,166 | not included | not included | not included | Cauchit (expanding window) | 0,77 | 0,79 | 0,72 | 0,054 | 0,200 | 0,128 | not included | not included | not included | ||||||
29 | Random Forest (expanding window) | 0,81 | 0,78 | 0,84 | 0,035 | 0,111 | 0,145 | not included | INCLUDED | not included | Random Forest (expanding window) | 0,75 | 0,81 | 0,75 | 0,052 | 0,194 | 0,107 | INCLUDED | not included | INCLUDED | ||||||
30 | Logit (fixed window) | 0,76 | 0,73 | 0,78 | 0,033 | 0,131 | 0,168 | not included | not included | not included | Logit (fixed window) | 0,77 | 0,78 | 0,72 | 0,055 | 0,199 | 0,155 | not included | not included | not included | ||||||
31 | Probit (fixed window) | 0,76 | 0,73 | 0,77 | 0,033 | 0,133 | 0,176 | not included | not included | not included | Probit (fixed window) | 0,77 | 0,77 | 0,72 | 0,055 | 0,199 | 0,161 | not included | not included | not included | ||||||
32 | Cauchit (fixed window) | 0,77 | 0,75 | 0,81 | 0,032 | 0,125 | 0,142 | INCLUDED | not included | INCLUDED | Cauchit (fixed window) | 0,78 | 0,80 | 0,73 | 0,054 | 0,192 | 0,121 | not included | INCLUDED | not included | ||||||
33 | Random Forest (fixed window) | 0,78 | 0,74 | 0,82 | 0,036 | 0,125 | 0,140 | not included | not included | INCLUDED | Random Forest (fixed window) | 0,68 | 0,73 | 0,67 | 0,058 | 0,229 | 0,122 | not included | not included | not included | ||||||
34 | ZPP - Random walk | 0,80 | 0,74 | 0,70 | 0,153 | 0,176 | 0,188 | not included | not included | not included | ZPP - Random walk | 0,75 | 0,65 | 0,72 | 0,380 | 0,271 | 0,340 | not included | not included | not included | ||||||
35 | ZPP - Normal GARCH(1,1) | 0,66 | 0,62 | 0,58 | 0,112 | 0,155 | 0,221 | not included | not included | not included | ZPP - Normal GARCH(1,1) | 0,65 | 0,56 | 0,58 | 0,216 | 0,325 | 0,212 | not included | not included | not included | ||||||
36 | ZPP - Student'st GARCH(1,1) | 0,65 | 0,55 | 0,63 | 0,095 | 0,175 | 0,272 | not included | not included | not included | ZPP - Student'st GARCH(1,1) | 0,62 | 0,53 | 0,59 | 0,216 | 0,310 | 0,247 | not included | not included | not included | ||||||
37 | ZPP - GH Skew-Student GARCH(1,1) | 0,66 | 0,57 | 0,63 | 0,072 | 0,155 | 0,248 | not included | not included | not included | ZPP - GH Skew-Student GARCH(1,1) | 0,63 | 0,55 | 0,57 | 0,191 | 0,303 | 0,222 | not included | not included | not included | ||||||
38 | ZPP - MSGARCH(1,1) | 0,69 | 0,69 | 0,86 | 0,068 | 0,136 | 0,143 | not included | not included | INCLUDED | ZPP - MSGARCH(1,1) | 0,68 | 0,65 | 0,70 | 0,143 | 0,247 | 0,145 | not included | not included | not included | ||||||
39 | ZPP - D.R.(mod. Garman and Klass)RW | 0,53 | 0,51 | 0,59 | 0,079 | 0,152 | 0,197 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)RW | 0,54 | 0,52 | 0,58 | 0,090 | 0,346 | 0,123 | not included | not included | not included | ||||||
40 | ZPP - D.R.(mod. Garman and Klass)HAR | 0,70 | 0,70 | 0,71 | 0,158 | 0,173 | 0,181 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)HAR | 0,70 | 0,73 | 0,73 | 0,318 | 0,228 | 0,288 | not included | not included | not included | ||||||
41 | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,66 | 0,70 | 0,71 | 0,163 | 0,173 | 0,182 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,75 | 0,73 | 0,75 | 0,312 | 0,227 | 0,284 | not included | not included | not included | ||||||
42 | ZPP - D.R.(mod. Garman and Klass)CARR | 0,58 | 0,60 | 0,56 | 0,132 | 0,170 | 0,218 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)CARR | 0,66 | 0,61 | 0,59 | 0,172 | 0,274 | 0,185 | not included | not included | not included | ||||||
43 | ZPP - D.R.(Yang and Zhang)RW | 0,67 | 0,63 | 0,65 | 0,172 | 0,229 | 0,240 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)RW | 0,71 | 0,56 | 0,69 | 0,309 | 0,437 | 0,263 | not included | not included | not included | ||||||
44 | ZPP - D.R.(Yang and Zhang)HAR | 0,75 | 0,72 | 0,72 | 0,192 | 0,199 | 0,195 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)HAR | 0,73 | 0,66 | 0,75 | 0,401 | 0,274 | 0,358 | not included | not included | not included | ||||||
45 | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,71 | 0,69 | 0,73 | 0,185 | 0,192 | 0,196 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,76 | 0,70 | 0,78 | 0,392 | 0,263 | 0,350 | not included | not included | not included | ||||||
46 | ZPP - D.R.(Yang and Zhang)CARR | 0,70 | 0,66 | 0,61 | 0,194 | 0,224 | 0,266 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)CARR | 0,74 | 0,59 | 0,70 | 0,335 | 0,349 | 0,298 | not included | not included | not included | ||||||
47 | OLD COINS: 365-DAY STEP AHEAD PROBABILITY OF DEATH (2016-2017) | OLD COINS: 365-DAY STEP AHEAD PROBABILITY OF DEATH (2018-2020) | ||||||||||||||||||||||||
48 | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | Models | AUC (restrictive) | AUC (simple) | AUC (1cent) | Brier Score (restrictive) | Brier Score (simple) | Brier Score (1cent) | MCS (restrictive) | MCS (simple) | MCS (1cent) | ||||||
49 | Logit (expanding window) | 0,67 | 0,61 | 0,68 | 0,036 | 0,153 | 0,294 | not included | not included | not included | Logit (expanding window) | 0,62 | 0,62 | 0,63 | 0,094 | 0,360 | 0,165 | not included | not included | not included | ||||||
50 | Probit (expanding window) | 0,67 | 0,60 | 0,67 | 0,036 | 0,155 | 0,297 | not included | not included | not included | Probit (expanding window) | 0,61 | 0,61 | 0,62 | 0,091 | 0,352 | 0,168 | not included | not included | not included | ||||||
51 | Cauchit (expanding window) | 0,64 | 0,64 | 0,70 | 0,036 | 0,143 | 0,273 | not included | INCLUDED | not included | Cauchit (expanding window) | 0,66 | 0,66 | 0,66 | 0,095 | 0,380 | 0,160 | not included | not included | INCLUDED | ||||||
52 | Random Forest (expanding window) | 0,65 | 0,61 | 0,69 | 0,086 | 0,241 | 0,331 | not included | not included | not included | Random Forest (expanding window) | 0,62 | 0,63 | 0,58 | 0,089 | 0,353 | 0,191 | not included | not included | not included | ||||||
53 | Logit (fixed window) | 0,66 | 0,60 | 0,65 | 0,035 | 0,156 | 0,277 | not included | not included | not included | Logit (fixed window) | 0,64 | 0,62 | 0,66 | 0,111 | 0,391 | 0,177 | not included | not included | not included | ||||||
54 | Probit (fixed window) | 0,66 | 0,60 | 0,64 | 0,035 | 0,157 | 0,279 | not included | not included | not included | Probit (fixed window) | 0,63 | 0,60 | 0,63 | 0,115 | 0,387 | 0,188 | not included | not included | not included | ||||||
55 | Cauchit (fixed window) | 0,65 | 0,62 | 0,69 | 0,034 | 0,163 | 0,259 | INCLUDED | not included | INCLUDED | Cauchit (fixed window) | 0,67 | 0,63 | 0,66 | 0,103 | 0,407 | 0,167 | not included | not included | not included | ||||||
56 | Random Forest (fixed window) | 0,64 | 0,59 | 0,72 | 0,080 | 0,256 | 0,280 | not included | not included | not included | Random Forest (fixed window) | 0,63 | 0,63 | 0,59 | 0,087 | 0,336 | 0,179 | INCLUDED | not included | not included | ||||||
57 | ZPP - Random walk | 0,67 | 0,64 | 0,60 | 0,558 | 0,509 | 0,431 | not included | not included | not included | ZPP - Random walk | 0,69 | 0,51 | 0,63 | 0,714 | 0,502 | 0,602 | not included | not included | not included | ||||||
58 | ZPP - Normal GARCH(1,1) | 0,65 | 0,58 | 0,54 | 0,498 | 0,447 | 0,477 | not included | not included | not included | ZPP - Normal GARCH(1,1) | 0,66 | 0,53 | 0,55 | 0,838 | 0,567 | 0,748 | not included | not included | not included | ||||||
59 | ZPP - Student'st GARCH(1,1) | 0,62 | 0,58 | 0,53 | 0,277 | 0,285 | 0,348 | not included | not included | not included | ZPP - Student'st GARCH(1,1) | 0,68 | 0,54 | 0,56 | 0,370 | 0,429 | 0,356 | not included | not included | not included | ||||||
60 | ZPP - GH Skew-Student GARCH(1,1) | 0,66 | 0,61 | 0,49 | 0,224 | 0,234 | 0,290 | not included | not included | not included | ZPP - GH Skew-Student GARCH(1,1) | 0,67 | 0,52 | 0,55 | 0,341 | 0,432 | 0,335 | not included | not included | not included | ||||||
61 | ZPP - MSGARCH(1,1) | 0,59 | 0,64 | 0,84 | 0,349 | 0,328 | 0,256 | not included | not included | INCLUDED | ZPP - MSGARCH(1,1) | 0,64 | 0,53 | 0,68 | 0,331 | 0,357 | 0,304 | not included | not included | not included | ||||||
62 | ZPP - D.R.(mod. Garman and Klass)RW | 0,52 | 0,53 | 0,59 | 0,280 | 0,275 | 0,267 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)RW | 0,51 | 0,56 | 0,58 | 0,293 | 0,287 | 0,277 | not included | not included | not included | ||||||
63 | ZPP - D.R.(mod. Garman and Klass)HAR | 0,67 | 0,66 | 0,67 | 0,501 | 0,448 | 0,378 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)HAR | 0,63 | 0,60 | 0,66 | 0,549 | 0,283 | 0,478 | not included | not included | not included | ||||||
64 | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,49 | 0,66 | 0,75 | 0,512 | 0,459 | 0,391 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)ARFIMA | 0,69 | 0,59 | 0,69 | 0,547 | 0,277 | 0,476 | not included | INCLUDED | not included | ||||||
65 | ZPP - D.R.(mod. Garman and Klass)CARR | 0,60 | 0,58 | 0,57 | 0,411 | 0,393 | 0,396 | not included | not included | not included | ZPP - D.R.(mod. Garman and Klass)CARR | 0,60 | 0,54 | 0,52 | 0,525 | 0,303 | 0,487 | not included | not included | not included | ||||||
66 | ZPP - D.R.(Yang and Zhang)RW | 0,74 | 0,64 | 0,59 | 0,721 | 0,676 | 0,601 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)RW | 0,70 | 0,48 | 0,65 | 0,937 | 0,705 | 0,792 | not included | not included | not included | ||||||
67 | ZPP - D.R.(Yang and Zhang)HAR | 0,79 | 0,67 | 0,61 | 0,612 | 0,557 | 0,471 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)HAR | 0,69 | 0,49 | 0,67 | 0,784 | 0,488 | 0,659 | not included | not included | not included | ||||||
68 | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,57 | 0,63 | 0,69 | 0,568 | 0,517 | 0,447 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)ARFIMA | 0,67 | 0,53 | 0,69 | 0,700 | 0,435 | 0,591 | not included | not included | not included | ||||||
69 | ZPP - D.R.(Yang and Zhang)CARR | 0,79 | 0,65 | 0,57 | 0,641 | 0,605 | 0,591 | not included | not included | not included | ZPP - D.R.(Yang and Zhang)CARR | 0,69 | 0,50 | 0,65 | 0,770 | 0,498 | 0,668 | not included | not included | not included | ||||||
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