Research Article
Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns
Table 3
MS-ARMA-GARCH models.
| MS-ARMA-GARCH models |
| (1) MS-ARMA-GARCH | Garch | Sigma | Arch | Constant | _ | _ | | | | RMSE |
| Regime 1. | 0.966483 (0.01307)*** | 0.000333727 ()*** | 0.03351 (0.005) | ()*** | 0.500244 | 0.5102 | | | 385.09 | 0.458911 | Regime 2. | 0.436124 (0.01307)*** | 0.0004356 ()*** | 0.56387 (0.0098) | ()*** | | | | | | |
| (2) MS-ARMA-APGARCH | Garch | sigma | Arch | Constant | Mean | _ | _ | Power | |
RMSE |
| Regime 1. | 0.616759 (0.01307)*** | 0.000679791 ()*** | 0.383241 (0.0102) | ()*** | 0.00021042 | 0.500227 | 0.50300 | 0.80456 (0.00546) | 1756.5 | 0.42111 | Regime 2. | 0.791950 (0.01307)*** | 0.0012381 ()*** | 0.20805 (0.0201) | ()*** | | | | 0.60567 (0.0234) | | |
| (3) MS-ARMA-FIAPGARCH | ARCH (Phi1) | GARCH (Beta1) | d-Figarch | APARCH (Gamma1) | APARCH (Delta) | Cst | _ | _ | |
RMSE |
| Regime 1. | 0.277721 (0.00) | 0.67848 (0.00) | 0.2761233 (0.0266) | 0.220157 (0.0106) | 0.123656 (0.001) | 0.00135 (0.001) | 0.50212 | 0.510021 | 1877.9 | 0.4222066 | Regime 2. | 0.309385 (0.002) | 0.680615 (0.0001) | 0.181542 (0.00005) | 0.21083 (0.0299) | 0.1448 (0.0234) | 0.00112 (0.00984) | | | | |
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