$s_t$

$p_t^{br}$

$p_t^{wti}$

In-sample

Out-of-sample

In-sample

Out-of-sample

$h=30$

$h=60$

$h=30$

$h=60$

Bahrain

0.186

0.231

0.326

0.173

0.212

0.306

Kuwait

0.468

0.467

0.463

0.444

0.445

0.446

Oman

0.261

0.258

0.255

0.272

0.270

0.268

Qatar

0.506

0.540

0.567

0.585

0.629

0.666

Saudi Arabia

0.538

0.529

0.519

0.513

0.504

0.495

United Arab Emirate

0.363

0.416

0.505

0.357

0.392

0.452