This paper contrasts the forecasting performance of three time series models for three very small frontier equity markets and one merging market in Africa. In the light of proposed regional equity market integration this study reveals potential benefits from diversification to South African investors from Namibia while Swaziland and Mozambique markets remain segmented. The evidence suggests that the CAPM with GARCH representation of errors outperforms the standard GARCH in capturing information. It also sheds light on the higher transactions costs faced by rational investors in Swaziland and Mozambique through the substantially higher conditional variance present in these markets.