GARCH Models Using for Forecasting of Shocks in the Arab Stock Exchanges as a Mechanism for Crises Management

Abstract

This study aims to highlight the importance of GARCH models  in the volatility modeling and forecasting as a mechanism for crisis management and early warning. After presenting the theoretical background of the models have been applied at the level of nine Arab stock exchanges indicators, namely: Abu Dhabi, Bahrain, Dubai, Egypt, Kuwait, Morocco, Oman, Qatar and Saudi Arabia, using daily data between 2007 and 2012 (1304 daily observation). The study concluded there is the problem of  Heteroskedasticity and continuity in shock in light of the crisis, which imposes the use of GARCH models