Abstract

This paper evaluated the different Fractionally Integrated-GARCH Models (FIGARCH BBM's, FIGARCH Chung, FIEGARCH, FIAPARCH BBM's, FIAPARCH Chung, and HYGARCH). This is the first research to use six different Fractionally Integrated-GARCH Models. Most research compares one of Fractionally Integrated-GARCH Models with the traditional GARCH, EGARCH, GJG-GARCH, IGARCH, and APGARCH. To do so, daily returns of Gulf Cooperation Council (GCC) Stock Markets analyzed, covering the period 1995 to 2015. Both the Superior Predictive Ability and the Model Confidence Set tests were used to identify the best fitting models of each country. The results reveal that FIGARCH BBM is the best fitting model for UAE, KSA, and Bahrain. FIEGARCH is the best fitting model for Kuwait. FIGARCH Chung is the best fitting model for Qatar. Only the results for Oman were mixed between FIGARCH BBM and FIAPARCH BBM models.

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