I calibrated (by minimizing RMSE) the Black Scholes, VG and CGMY models to data from 2005 (before the crisis) and to data from 2020. The results surprised me. I do not understand why for data from 2005 it gets a significant improvement in relation to the Black Scholes model, and in 2020 all model parameters are such that the RMSE value is the same for all models. What does it mean? What happened that there is no improvement when using the VG or CGMY models?