Table 4 RMSE Values of the Forecasting Models for Developed Markets
From: Evaluation of forecasting methods from selected stock market returns
Country | ARIMA | SETAR | ANN | SSA | HM |
|---|---|---|---|---|---|
Australia | ARIMA (1,0,0) 0.839708 | 0.8371075 | 0.839961 | 0.853739 | 0.8398178 |
Canada | ARIMA (4,0,4) 0.7160948 | 0.7235669 | 0.7279448 | 0.721191 | 0.7178712 |
France | ARIMA (2,0,3) 1.104531 | 1.104509 | 1.121098 | 1.13334 | 1.107893 |
Germany | ARIMA (3,0,3) 1.137963 | 1.140388 | 1.156347 | 1.139859 | 1.138008 |
Japan | ARIMA (1,0,1) 1.312612 | 1.307090 | 1.312699 | 1.319925 | 1.312697 |
South Korea | ARIMA (1,0,2) 0.7815902 | 0.7845301 | 0.7816591 | 0.7975102 | 0.7815836 |
Switzerland | ARIMA (3,0,3) 0.9262604 | 0.9252304 | 0.9262753 | 0.935211 | 0.9262085 |
UK | ARIMA (3,0,2) 0.9002485 | 0.9003106 | 0.9093658 | 0.9194308 | 0.9057976 |
US | ARIMA (2,0,0) 0.8197795 | 0.8125207 | 0.8171281 | 0.8187795 | 0.8119642 |