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Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2007) Long-range forecasting of the S&P stock market index using fractional integration techniques. Centre for International Capital Markets discussion papers, 2007 (04). pp. 1-16. ISSN 1749-3412
Abstract
In this paper we examine the stochastic behaviour of the S&P 5000 stock market index by means of fractional integration techniques. Specifically, we use a parametric method to test I(d) statistical models. Model selection criteria based on out-of-sample forecasting performance suggest that that best model specification is an I(d) process with d higher than 1, implying that the series under examination is nonstationary and non-mean-reverting.
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