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Long-range forecasting of the S&P stock market index using fractional integration techniques

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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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Title:
Long-range forecasting of the S&P stock market index using fractional integration techniques
Creators:
Caporale, Guglielmo Maria and Gil-Alana, Luis A.
Official URL:
http://www.londonmet.ac.uk/media/london-metropolit...
Date:
2007
Subjects:
300 Social sciences > 330 Economics
Department:
Guildhall School of Business and Law
Publisher:
Centre for International Capital Markets, London Metropolitan University
Uncontrolled Keywords:
Centre for International Capital Markets discussion papers; CICM discussion papers; fractional integration; long memory; long-range prediction
Record
URI:
https://repository.londonmet.ac.uk/id/eprint/489
Item Type:
Article
Depositing User:
Mary Burslem
Date Deposited:
23 Apr 2015 09:05
Revision:
10
Last Modified:
23 Apr 2015 09:05
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