OEM versus AR

OEM versus ARMA

OEM versus ARFIMA

In-sample

Out-of-sample

In-sample

Out-of-sample

In-sample

Out-of-sample

$h=30$

$h=60$

$h=30$

$h=60$

$h=30$

$h=60$

Bahrain

3.224***

3.179***

3.053***

3.240***

3.199***

3.072***

3.146***

3.105***

2.977***

Kuwait

−15.956***

−16.548***

−17.257***

−15.280***

−15.773***

−16.397***

−24.269***

−24.549***

−25.044***

Oman

1.494

1.540

1.309

1.541

1.589

1.356

−6.433***

−6.023***

−5.053***

Qatar

4.821***

4.365***

3.532***

4.831***

4.374***

3.541***

5.423***

5.012***

4.209***

Saudi Arabia

−10.329***

−10.146***

−9.890***

−10.985***

−10.824***

−10.599***

−6.152***

−6.031***

−5.856

United Arab Emirate

3.121***

3.074***

2.948***

3.252***

3.215***

3.087***

3.129***

3.085***

2.957***