@article {10.3844/ajebasp.2011.586.588,
article_type = {journal},
title = {Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models},
author = {Caporale, Guglielmo Maria and Cunado, Juncal and Gil-Alana, Luis A.},
volume = {3},
year = {2011},
month = {Dec},
pages = {586-588},
doi = {10.3844/ajebasp.2011.586.588},
url = {https://thescipub.com/abstract/ajebasp.2011.586.588},
abstract = {Problem statement: The content of this note was to assess the forecasting accuracy of various models of the Spanish stock market returns. Approach: 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. Results: The results on the prediction errors for the out-of-sample forecasts indicate that the fractional models outperform the non-fractional ones. Conclusion: 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. That implies that the stock market prices display a very small degree of mean reversion behavior.},
journal = {American Journal of Economics and Business Administration},
publisher = {Science Publications}
}