Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale
Author-Name: Juncal Cunado
Author-Name: Luis A. Gil-Alana
Title:  Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
Abstract:  <b>Problem statement:</b> The content of this note was to assess the forecasting accuracy of various models of the Spanish stock market returns. <b>Approach:</b> 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. <b>Results:</b> The results on the prediction errors for the out-of-sample forecasts indicate that the fractional models outperform the non-fractional ones. <b>Conclusion:</b> 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.
Keywords: Fractional integration, stock market returns
Journal: American Journal of Economics and Business Administration
Pages: 586-588
Volume: 3
Issue: 4
Year: 2011
Month: December
DOI: 10.3844/ajebasp.2011.586.588
File-URL: https://thescipub.com/pdf/ajebasp.2011.586.588.pdf
File-Format: Application/pdf
File-URL: https://thescipub.com/abstract/ajebasp.2011.586.588
File-Format: text/html
Handle: RePEc:abk:jajeba:ajebasp.2011.586.588