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Title: Forecasting the Spanish stock market returns with fractional and non-fractional models
Authors: Caporale, GM
Cunado, J
Gil-Alana, LA
Keywords: Fractional integration;Stock market returns
Issue Date: 2011
Publisher: Science Publications
Citation: American Journal of Economics and Business Administration, 3(4): 586, (October 2011)
Abstract: This note assesses the forecasting accuracy of various models of the Spanish stock market returns. We use daily data on the IBEX 35 for the time period January 4th, 2001 - March 28th, 2006, and employ both fractional and non-fractional models. Prediction errors for the out-of-sample forecasts indicate that the fractional models outperform the non-fractional ones. Standard forecasting criteria suggest that the ARFIMA(1, d, 0) model with d = -0.017 and the AR(1) coefficient equal to 0.068 is the best specification for this series.
ISSN: 1945-5488
Appears in Collections:Dept of Economics and Finance Research Papers

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