期刊名称：American Journal of Economics and Business Administration
印刷版ISSN：1945-5488
电子版ISSN：1945-5496
出版年度：2011
卷号：3
期号：4
页码：586-588
DOI：10.3844/ajebasp.2011.586.588
出版社：Science Publications
摘要：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.
