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Future Business Journal

Table 6 Campbell–Thompson (C–T) test results

From: Economic policy uncertainty and stock returns among OPEC members: evidence from feasible quasi-generalized least squares

 

50%

75%

WN_ASY versus ARFIMA

WN_ASY versus ARFIMA

In-sample RMSE

Out-of-sample RMSE

In-sample RMSE

Out-of-sample RMSE

h = 4

h = 8

h = 12

h = 4

h = 8

h = 12

Kuwait

0.1373

0.0925

0.0649

0.0619

0.0671

0.0644

0.0579

0.0492

Nigeria

0.0447

0.0347

0.0371

0.0329

0.0305

0.0335

0.0204

0.0201

S. Arabia

0.0925

0.0875

0.0892

0.0822

0.0535

0.0562

0.0473

0.0137

UAE

0.0523

0.0586

0.0485

0.0592

0.0274

0.0254

0.0139

0.0059

Venezuela

0.0741

0.0888

0.0680

0.0412

0.0101

0.0115

0.0083

0.0023

  1. The C–T test results are based on the forecast performance of the proposed asymmetric model (unrestricted model) as against the symmetric model (ARFIMA model). WN_ASY is treated as the unrestricted model and ARFIMA is treated as the restricted model. Intuitively, a positive C–T statistic suggests that the unrestricted model outperforms the restricted model. When there is a negative C–T statistic, it implies that the restricted model surpasses the unrestricted model
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