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Using ARCH Models to Modeling the Volatility of Stock Prices in the Saudi Financial Market

Algerian Business Performance Review

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Title Statement Using ARCH Models to Modeling the Volatility of Stock Prices in the Saudi Financial Market
 
Added Entry - Uncontrolled Name فاتح, لقوقي
محمد, شيخي
كلية العلوم الاقتصادية والعلوم التجارية وعلوم التسييرجامعة العربي بن مهيدي أم البواقي
كليةالعلوم الاقتصادية والعلوم التجارية وعلوم التسييرجامعة العربي بن مهيدي أم البواقي
 
Summary, etc. The aim of this paper is to 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.
 
Publication, Distribution, Etc. Algerian Business Performance Review
 
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https://journals.univ-ouargla.dz/index.php/ABPR/article/view/395
 
Data Source Entry Algerian Business Performance Review; Vol 12 No 1 (2017): Numero 12 2017
 
Language Note eng
 
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