Before revision:  Our results indicate that the 4-states Non-Homogeneous Hidden Markov model has the best one-step-ahead forecasting performance among all the competing models for all three series.
After revision:  Our results indicate that the 4-states Non-Homogeneous Hidden Markov (NHHM) model with four states has the best one-step-ahead forecasting performance among all the competing models for all three series.