During the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis, different types of these models have been used in forecasting. Now, there is a question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison between static and dynamic neural network models in forecasting (uninvariable) the return of Tehran Stock Exchange (TSE) index in order to find the best model to be used for forecasting this series. The data were collected daily from 26/11/2009 to 17/10/2014. The models examined in this study included two static models (Adaptive Neuro-Fuzzy Inference Systems "ANFIS" and Multi-layer Feed-forward Neural Network "MFNN") and a dynamic model (nonlinear neural network autoregressive model "NNAR"). The findings showed that based on the Mean Square Error and Root Mean Square Error criteria, ANFIS model had a much higher forecasting ability compared to other models.