$s_t$

AR*

MA**

ARMA***

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

0.313

0.305

0.298

0.299

0.293

0.288

0.313

0.305

0.298

0.304

0.296

0.289

Kuwait

1.263

1.267

1.274

0.768

0.757

0.748

1.215

1.216

1.221

0.810

0.804

0.802

Oman

0.636

0.641

0.649

0.546

0.543

0.543

0.582

0.586

0.593

0.548

0.546

0.548

Qatar

1.279

1.293

1.314

0.786

0.782

0.784

1.186

1.198

1.214

0.799

0.800

0.808

Saudi Arabia

1.206

1.208

1.215

0.648

0.639

0.634

1.099

1.099

1.103

0.695

0.692

0.694

United Arab Emirate

0.793

0.803

0.822

0.409

0.412

0.423

0.695

0.703

0.718

0.426

0.435

0.453