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

0.449

0.304

−0.028

0.425

0.277

−0.062

0.449

0.305

−0.027

0.432

0.283

−0.057

Kuwait

0.649

0.648

0.650

0.423

0.412

0.404

0.635

0.634

0.635

0.453

0.447

0.444

Oman

0.573

0.578

0.588

0.502

0.502

0.507

0.533

0.538

0.548

0.504

0.504

0.511

Qatar

0.543

0.514

0.493

0.256

0.196

0.151

0.507

0.475

0.452

0.268

0.214

0.176

Saudi Arabia

0.575

0.583

0.592

0.209

0.211

0.218

0.534

0.541

0.551

0.262

0.272

0.286

United Arab Emirate

0.549

0.512

0.450

0.127

0.049

−0.067

0.486

0.442

0.371

0.162

0.099

0.003