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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