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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