Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks

Financial Innovation

Table 4 Out-of-sample forecasts of the stocks index

	Criterion	Kuwait	Qatar	Saudi	UAE	Bahrain	Oman
s = 5
ARFIMA-FIAPARCH	MSE	0.024	0.017	0.013	0.026	0.023	0.010
	MAPE	0.156	0.125	0.097	0.146	0.131	0.094
	LL	22.035	11.831	11.640	6. 638	4.469	9.803
	DM	1.956	1.568	1.672	1.564	1.434	1.726
ARFIMA-G-GARCH	MSE	0.022	0.015	0.012	0.024	0.022	0.009
	MAPE	0.148	0.121	0.094	0.143	0.132	0.086
	LL	20.578	11.348	10.754	5.675	4.258	9.382
	DM	1.898	1.502	1.583	1.497	1.379	1.682
ARFIMA-HYAPARCH	MSE	0.018*	0.015*	0.011*	0.023*	0.021*	0.008*
	MAPE	0.144	0.119	0.087	0.136	0.132	0.079
	LL	19.604*	10.807*	9.865*	5.175*	4.165*	8.657*
	DM	1.832	1.486	1.508	1.386	1.285	1.607
s = 10
ARFIMA-FIAPARCH	MSE	0.028	0.022	0.021	0.018	0.019	0.017
	MAPE	0.149	0.131	0.128	0.123	0.125	0.118
	LL	18.638	11.469	10.584	5.443	4.467	8.326
	DM	2.135	1.793	1.874	1.789	1.768	1.941
ARFIMA-G-GARCH	MSE	0.022	0.017	0.013	0.021	0.018	0.011
	MAPE	0.143	0.128	0.107	0.120	0.122	0.098
	LL	17.982	11.095	10.048	5.175	4.165	7.981
	DM	2.026	1.681	1.759	1.679	1.698	1.882
ARFIMA-HYAPARCH	MSE	0.019*	0.010*	0.008*	0.023*	0.014*	0.007*
	MAPE	0.133	0.098	0.083	0.116	0.114	0.076
	LL*	17.342*	10.255*	9.282*	4.658*	4.025*	6.631*
	DM	1.997	1.605	1.688	1.613	1.594	1.771
s = 15
ARFIMA-FIAPARCH	MSE	0.025	0.023	0.021	0.018	0.019	0.017
	MAPE	0.136	0.131	0.128	0.123	0.125	0.119
	LL	16.175	14.469	9.584	6.443	4.467	5.326
	DM	2.324	1.976	2.158	1.982	1.974	2.207
ARFIMA-G-GARCH	MSE	0.025*	0.016*	0.020*	0.015*	0.018	0.017
	MAPE	0.134	0.097	0.126	0.117	0.123	0.118
	LL	15.872*	11.456*	7.175*	5.855*	3.996	4.864
	DM	2.168	1.895	2.021	1.899	1.849	2.123
ARFIMA-HYAPARCH	MSE	0.022*	0.012*	0.023*	0.015*	0.016*	0.014*
	MAPE	0.131	0.087	0.116	0.102	0.121	0.112
	LL	15.340*	10.153*	5.175*	4.165*	2.467*	2.376*
	DM	2.006	1.823	1.996	1.875	1.7989	2.001