Kamel Alanazi

Enhancing Time Series Forecasting: Applying Cross-Validation Methods to Hybrid Models for Predicting GCC Stock Market Indices

Forecasting Gulf Cooperation Council (GCC) country stock market returns is challenging because these markets exhibit volatility clustering, heavy tails, oil-price sensitivity, and asymmetric responses to shocks. This study evaluates whether ARIMA–GARCH-family hybrid models improv...