Table 2.

Performance of the ARIMA model.

	ARIMA		ANN		Regression		Consensus
	Training	Testing	Training	Testing	Training	Testing	Training	Testing
MAPE	1.43	1.00	1.28	2.87	1.07	0.90	1.06	0.92
RMSE	242.3	156.7	244.1	433.0	195.9	147.4	191.7	147.3
Annualized return (%)	59.9	19.6	56.9	4.4	9.0	5.2	27.1	5.1
Sharp ratio	0.898	3.616	1.081	0.143	0.691	0.127	0.781	0.392

The lowest MAPE and RMSE and the highest Sharp ratio are bolded.