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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