OSM versus AR

OSM versus MA

OSM versus ARMA

OSM versus ARFIMA

In-sample

Out-of-sample

In-sample

Out-of-sample

In-sample

Out-of-sample

In-sample

Out-of-sample

$h=30$

$h=60$

$h=30$

$h=60$

$h=30$

$h=60$

$h=30$

$h=60$

Bahrain

−12.56***

−7.39***

0.45

−12.95***

−7.15***

0.97

−12.67***

−7.46***

0.44

−12.54***

−7.02***

0.88

Kuwait

−29.43***

−30.73***

−32.24***

−19.11***

−18.68***

−18.58***

−28.64***

−29.84***

−31.26***

−28.06***

−28.21***

−29.01***

Oman

−22.63***

−23.95***

−25.47***

−31.49***

−32.22***

−33.67***

−21.81***

−23.03***

−24.49***

−32.93***

−33.98***

−35.64***

Qatar

−30.14***

−30.87***

−32.11***

−9.45***

−7.18***

−5.69***

−27.63***

−27.81***

−28.65***

−12.64***

−10.02***

−8.56***

Saudi Arabia

−24.02***

−25.26***

−26.67***

−7.44***

−7.63***

−8.05***

−21.09***

−22.12***

−23.35***

−9.95***

−10.57***

−11.49***

United Arab Emirate

−20.23***

−20.79***

−20.37***

−4.24***

−1.55

2.09

−16.07***

−15.99***

−14.72***

−5.65***

−3.65***

−0.11