Applied Mathematical Forecast Evaluation of Green Bond ETF Returns Under the Random Walk Benchmark
Kerolly Kedma Felix do Nascimento, Fernando Henrique Antunes de Araujo, Fábio Sandro dos SantosWe examine whether daily green bond exchange-traded fund (ETF) returns can be forecast more accurately than the zero-return benchmark. Using four ETFs with data through 17 April 2026, we compare linear, penalized, boosting, feedforward, recurrent, and combination forecasts in historical out-of-sample experiments. The contribution is empirical and evaluative, not a new algorithm. Combinations occasionally reduce squared error by less than 0.3%; the gains are statistically insignificant and heterogeneous across funds. An adjusted-price comparison with four conventional bond ETFs on identical dates finds no significant difference in combination-loss gains between the groups. Hyperparameter and dependence checks do not reverse these findings. Hypothetical close-to-close trading payoffs are sensitive to transaction costs, but are not executable backtests. Overall, the tested models provide limited incremental predictive information, without establishing market efficiency or a forecasting difficulty unique to green bonds.