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Finally, the comparison was carried out between ARIMA and GARCH class models using the measurement of forecast errors, based on the Root Mean Square Deviation (RMSE), Mean Absolute Error (MAE), and Mean absolute percentage error (MAPE). The GARCH model was the best-fitted model for Australian Dollar, Feeder cattle, and Coffee. The APARCH model provides the best out-of-sample performance for Corn and Crude Oil. EGARCH and TGARCH were the better-fitted models for Gold and Treasury bond, respectively. 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