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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. |
URI: | http://connection.ebscohost.com/c/articles/71793962/forecasting-spanish-stock-market-returns-fractional-non-fractional-models http://bura.brunel.ac.uk/handle/2438/9693 |
ISSN: | 1945-5488 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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