Financial Innovation

Table 6 RMSE Values of the Forecasting Models for Frontier Markets

From: Evaluation of forecasting methods from selected stock market returns

Country	ARIMA	SETAR	ANN	SSA	HM
Argentina	ARIMA (1,0,0) 2.058513	2.046473	2.059416	2.067785	2.061399
Estonia	ARIMA (1, 0, 2) 0.554262	0.576389	0.593064	0.567850	0.574015
Kenya	ARIMA (2,0,2) 0.679084	0.656696	0.656707	0.680819	0.684070
Sri Lanka	ARIMA (0,0,2) 0.443346	0.449314	0.444426	0.473222	0.445437
Tunisia	ARIMA (1,0,0) 0.460538	0.44934	0.618865	0.443756	0.464829

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