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Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
[Analysis of informational shock and conditional heteroscedasticity in cash flows]

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  • CHIKHI, Mohamed

Abstract

Résumé: Cet article analyse le comportement cyclique des flux de trésorerie et notamment ses propriétés statistiques à travers une classe de modèles ARMA avec erreur GARCH, notée ARIMA-GARCH ; cette classe inclut une tendance stochastique, la dépendance à court terme ainsi que le terme d’erreur hétéroscédastique à mémoire courte. Nous étudions les flux hebdomadaires de trésorerie de 2006 à 2008. Les résultats prédictifs montrent que les chocs informationnels ont des conséquences transitoires sur la volatilité et que le modèle ARIMA-GARCH montre une supériorité évidente sur le modèle de marche aléatoire. Une des conclusions est que l’hypothèse de prévisibilité est acceptée pour la série des flux de trésorerie étudiée sur une période toute historique.

Suggested Citation

  • CHIKHI, Mohamed, 2011. "Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie [Analysis of informational shock and conditional heteroscedasticity in cash flows]," MPRA Paper 77269, University Library of Munich, Germany, revised Jun 2011.
    • Handle: RePEc:pra:mprapa:77269
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Mots-clé: Modèles ARMA; modèles GARCH; flux de trésorerie; chocs informationnels; marche aléatoire.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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