Skip to main content

Table 5 RMSE Values of the Forecasting Models for Emerging Markets

From: Evaluation of forecasting methods from selected stock market returns

Country

ARIMA

SETAR

ANN

SSA

HM

Brazil

ARIMA (2,0,1)

1.441972

1.442167

1.442900

1.470025

1.442262

China

ARIMA (3,0,3)

1.555623

1.570942

1.56378

1.555431

1.554521

Egypt

ARIMA (0,0,1)

1.357198

1.324729

1.368285

1.385264

1.357206

India

ARIMA (3,0,1)

0.838730

0.844534

0.839839

0.851503

0.838335

Indonesia

ARIMA (1,0,0)

0.919355

0.926838

0.918685

0.921310

0.918988

Mexico

ARIMA (2,0,1)

0.850496

0.848814

0.867506

0.851756

0.848878

Russia

ARIMA (3,0,4)

0.996021

0.993842

1.008659

1.006565

1.000470

South Africa

ARIMA (3,0,1)

1.062336

1.064449

1.063028

1.066819

1.061791

Thailand

ARIMA (2,0,2)

0.756856

0.754199

0.770766

0.775997

0.762275

Turkey

ARIMA (2,0,2)

1.280623

1.28606

1.292737

1.291581

1.283447