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

3.081***

3.032***

2.903***

3.118***

3.070***

2.941***

3.022***

2.974***

2.843***

Kuwait

−15.418***

−15.988***

−16.653***

−14.673***

−15.145***

−15.721***

−23.245***

−23.526***

−23.975***

Oman

−4.539***

−4.515***

−4.320***

1.251

1.307

1.076

−6.424***

−6.033***

−5.108***

Qatar

5.352***

4.902***

4.104***

5.359***

4.909***

4.112***

6.006***

5.598***

4.834***

Saudi Arabia

−6.917***

−6.798***

−6.637***

−11.411***

−11.299***

−11.158***

−6.573***

−6.481***

−6.351***

United Arab Emirate

2.888***

2.835***

2.707***

3.146***

3.100***

2.971***

2.981***

2.932***

2.802***