I would like to to estimate the future returns of some public indeces. I have several of them so it is a multivariate problem. The series are quarterly and the estimation should be of at least 15-20 samples ahead.
I have tried so far with a VAR-VARMA model, but although i see great performance in-sample it is very bad out-of samples, showing it is prone to overfitting.
Now I know this is a 1 million dollar question, but in reality I would just like to have an advice on other methods I could try.
I was thinking at copula + MC resampling, or copula + markov chain MC resampling, or maybe adopting recurrent neural networks or others.
Can anybody suggest me on this?