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

−11.68***

−5.71***

1.47

−12.14***

−5.31***

2.01

−11.79***

−5.76***

1.46

−11.66***

−5.26***

1.90

Kuwait

−29.43***

−30.78***

−32.34***

−18.76***

−18.47***

−18.59***

−28.66***

−29.91***

−31.39***

−29.06***

−29.39***

−30.51***

Oman

−22.34***

−23.66***

−25.17***

−30.46***

−31.29***

−32.76***

−21.43***

−22.65***

−24.11***

−31.51***

−32.59***

−34.24***

Qatar

−31.89***

−33.21***

−34.84***

−14.34***

−12.59***

−11.76***

−30.04***

−30.99***

−32.43***

−19.66***

−17.70***

−17.17***

Saudi Arabia

−22.87***

−24.07***

−25.45***

−6.32***

−6.52***

−6.97***

−19.94***

−20.94***

−22.15***

−8.58***

−9.19***

−10.11***

United Arab Emirate

−19.83***

−19.47***

−16.52***

−3.41***

0.34

4.28

−15.59***

−14.48***

−10.78***

−4.81***

−1.41

2.94