مجلة أداء المؤسسات الجزائرية
Volume 7, Numéro 2, Pages 171-183
2018-04-08

Using Arch Models To Modeling The Volatility Of Stock Prices In The Saudi Financial Market – A Case Study Of Etihad Etisalat Saudi Arabia –



الكاتب : Legougui Fateh .

الملخص

The aim of this Paper is modeling the daily closing prices of Etihad Etisalat in the Saudi's telecom sector during the period from 01 January 2010, to 31 December 2015. After using many models ARCH symmetric and asymmetric, we found that by comparing these Models and based on several criteria The best model that can represent the stock price time series is ARIMA (1,1,3) with a TGARCH (1,1) error. The results also showed that positive shocks associated with good news give less severe fluctuations than negative shocks associated with bad news

الكلمات المفتاحية

Financial Market, ARIMA Models, ARCH Models, Stock Prices

مقالات مماثلة

دور إباضية المغرب الأوسط في تنشيط التجارة الصحراوية خلال العصر الوسيط Thé Rôle Of Ibadis Of Thé Central Maghreb Un Stimulating Thé Désert Trade During Thé Middle Age

بوسالم أحلام .  عابد يوسف . 
ص 117-132.

Muhammad A.r .webb: Thé First Anglo White Concert To Islam Un Thé U.s.a Ans Thé Influence Of Thé Ah Adyya Movemment

Yahia Zeghoudi . 
pages 74-88.

Using Genetic Algorithms In Panel Data Modeling: The Relationship Between Stock Prices And Financial Performance Of Saudi Arabia’s Listed Companies

Mouffok Omar .  Mouffok Mohammed Amine . 
pages 77-99.

أثر الأزمات المالية على عوائد الأسهم والتقلبات في قطاعي البنوك والتامين في بورصة عمان (1994–2011) The Impact Of The Financial Crisis On Stock Market Returns And Volatility In Banking And Insurance Sectors In Amman Stock Exchange (ase) (1994–2011)

حسين علي الزيود .  مشهور أحمد حمادنه . 
ص 100-132.

The Impact Of Interest Rates On The Stock Market Performance: Amman Stock Market Case Study Using Ardl Approach During The Period 1990-2018

Bouabdallah Ali .  Bouguesba Cherif . 
pages 765-776.

Formats de citation