Table 3 Out-of-sample forecasting... | Emerald Publishing

Table 3

Out-of-sample forecasting performance: ANN, random walk, and DM test

Index	ANN RMSE	ANN MAE	ANN R²	RW RMSE	RW MAE	RW R²	DM statistic (p-value)*
DJICA	0.015	0.010	0.000	0.022	0.015	−1.115	−4.877 (p < 0.001)
DJICHKU	0.012	0.009	−0.001	0.018	0.013	−1.290	−6.022 (p < 0.001)
DJIJP	0.013	0.009	−0.002	0.020	0.014	−1.297	−8.586 (p < 0.001)
DJIMIND	0.009	0.006	−0.002	0.012	0.009	−0.841	−6.059 (p < 0.001)
DJIMKW	0.010	0.006	−0.001	0.014	0.008	−0.804	−3.707 (p < 0.001)
DJIMTR	0.014	0.010	−0.013	0.019	0.014	−0.881	−7.885 (p < 0.001)
DJIUK	0.012	0.009	0.000	0.018	0.013	−1.183	−6.262 (p < 0.001)
DJMY25D	0.007	0.005	−0.043	0.011	0.007	−1.544	−3.498 (p = 0.001)
IMUS	0.011	0.007	0.000	0.017	0.011	−1.215	−4.468 (p < 0.001)

Index	ANN RMSE	ANN MAE	ANN R²	RW RMSE	RW MAE	RW R²	DM statistic (p-value)*
DJICA	0.015	0.010	0.000	0.022	0.015	−1.115	−4.877 (p < 0.001)
DJICHKU	0.012	0.009	−0.001	0.018	0.013	−1.290	−6.022 (p < 0.001)
DJIJP	0.013	0.009	−0.002	0.020	0.014	−1.297	−8.586 (p < 0.001)
DJIMIND	0.009	0.006	−0.002	0.012	0.009	−0.841	−6.059 (p < 0.001)
DJIMKW	0.010	0.006	−0.001	0.014	0.008	−0.804	−3.707 (p < 0.001)
DJIMTR	0.014	0.010	−0.013	0.019	0.014	−0.881	−7.885 (p < 0.001)
DJIUK	0.012	0.009	0.000	0.018	0.013	−1.183	−6.262 (p < 0.001)
DJMY25D	0.007	0.005	−0.043	0.011	0.007	−1.544	−3.498 (p = 0.001)
IMUS	0.011	0.007	0.000	0.017	0.011	−1.215	−4.468 (p < 0.001)