Research Article
Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns
Table 5
Markov switching ARMA-GARCH neural network models: test sample results.
| ā | MSE | RMSE |
| Model Group 1: MS-ARMA-GARCH-neural network models | MS-ARMA-GARCH-RNN | 0.015436917 | 0.124245392 (2nd) | MS-ARMA-GARCH-RBF | 0.023914916 | 0.154644483 (5th) | MS-ARMA-GARCH-ELMAN RNN | 0.023667136 | 0.153841268 (4th) | MS-ARMA-GARCH-HYBRID MLP | 0.015461623 | 0.124344774 (3rd) | MS-ARMA-GARCH-MLP | 0.015333378 | 0.123828017 (1st) |
| Model Group 2: MS-ARMA-APGARCH-neural network models | MS-ARMA-APGARCH-RNN | 0.00000001628449 | 0.00012761067957 (4th) | MS-ARMA-APGARCH-RBF | 0.00000002662825 | 0.00016318165387 (5th) | MS-ARMA-APGARCH-ELMAN RNN | 0.00000001389858 | 0.00011789225071 (3rd) | MS-ARMA-APGARCH-HYBRID MLP | 0.00000001331575 | 0.00011539391162 (1st) | MS-ARMA-APGARCH-MLP | 0.00000001333791 | 0.00011548986313 (2nd) |
| Model Group 3: MS-ARMA-FIAPGARCH-neural network models | MS-ARMA-FIAPGARCH-RNN | 0.00000001354729 | 0.00011639284333 (1st) | MS-ARMA-FIAPGARCH-RBF | 0.00000002576468 | 0.00016051379977 (5th) | MS-ARMA-FIAPGARCH-ELMAN RNN | 0.00000001521219 | 0.00012333770222 (4th) | MS-ARMA-FIAPGARCH-HYBRID MLP | 0.00000001385396 | 0.00011770286713 (2nd) | MS-ARMA-FIAPGARCH-MLP | 0.00000001389543 | 0.00011787886146 (3rd) |
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