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Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
2011
American Journal of Economics and Business Administration
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
doi:10.3844/ajebasp.2011.586.588
fatcat:cpeydroyn5g2znxxvwrrbwshuy