0.006528 0.006379 0.006487 0.006398 Mean Absolute Error 120.3124 112.5558 120.9649 Mean Abs. Percent Error 98.92613 Theil Inequality 0.883868 0.262480 0.908428 0.971812 Coefficient 4.1.4.3 Small Capitalization The table below (Table 4.1.5) presents the results from the forecast for all four estimations. Four different critical values are presented and based on those we can conclude if the market is efficient in its weak form. The model that reaches the lowest values for each critical value, or at least most of them, it is the model that gives the best estimation. For the small-cap index (S&P600), we can suggest that because Random Walk has three out of the four lowest critical values, while GARCH has only one, is the best model to describe the market prices. That means that, for the S&P600 index the stock price movements follow the RW, which do indicates that there is market efficiency in its weak form for the small capitalization. Table 4.1.5 Small Capitalization Forecasting Results ARIMA GARCH E-GARCH Random Walk (2,2) (1,1) 0.009616 0.009498 0.009583 Root Mean Squared 0.009450 Error 0.007376 0.007284 0.007369 Mean Absolute Error 0.007232 Mean Abs. Percent Error 118.3928 109.4687 106.9880 98.30536 0.905076 0.915511 0.972271 Theil Inequality 0.902495 Coefficient
Mean Absolute Error 0.006528 0.006379 0.006487 0.006398 Mean Abs. Percent Error 120.3124 112.5558 120.9649 98.92613 Theil Inequality Coefficient 0.883868 0.262480 0.908428 0.971812 4.1.4.3 Small Capitalization The table below (Table 4.1.5) presents the results from the forecast for all four estimations. Four different critical values are presented and based on those we can conclude if the market is efficient in its weak form. The model that reaches the lowest values for each critical value, or at least most of them, it is the model that gives the best estimation. For the small-cap index (S&P600), we can suggest that because Random Walk has three out of the four lowest critical values, while GARCH has only one, is the best model to describe the market prices. That means that, for the S&P600 index the stock price movements do follow the RW, which indicates that there is market efficiency in its weak form for the small capitalization. Table 4.1.5 Small Capitalization Forecasting Results ARIMA GARCH (2,2) E-GARCH (1,1) Random Walk Root Mean Squared Error 0.009616 0.009498 0.009583 0.009450 Mean Absolute Error 0.007376 0.007284 0.007369 0.007232 Mean Abs. Percent Error 118.3928 109.4687 106.9880 98.30536 Theil Inequality Coefficient 0.905076 0.902495 0.915511 0.972271
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