Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models

Resumen:
The article presents a study which investigates the accuracy of fractional and non-fractional forecasting models in predicting stock market returns in Spain. It states that daily data from the Spanish stock market recorded on the IBEX 35 from January 4, 2011 to March 28, 2006 were utilized in the study. It reveals that a small degree of mean reversion behavior was observed in the stock market prices during the said period