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

0.406

0.242

−0.097

0.379

0.212

−0.132

0.407

0.242

−0.096

0.388

0.219

−0.127

Kuwait

0.629

0.632

0.636

0.391

0.383

0.381

0.615

0.616

0.621

0.422

0.420

0.423

Oman

0.589

0.597

0.608

0.522

0.524

0.531

0.552

0.559

0.570

0.523

0.526

0.535

Qatar

0.604

0.583

0.568

0.357

0.309

0.277

0.574

0.549

0.533

0.367

0.325

0.298

Saudi Arabia

0.554

0.562

0.572

0.169

0.172

0.180

0.510

0.519

0.529

0.225

0.235

0.251

United Arab Emirate

0.542

0.483

0.386

0.113

−0.009

−0.193

0.478

0.408

0.297

0.149

0.045

−0.115