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استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
[Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisalat Saudi Arabia –]

Author

Listed:
  • LEGOUGUI, Fateh
  • CHIKHI, Mohamed

Abstract

يهدف هذا البحث إلى نمذجة أسعار أسهم الإغلاق اليومية لشركة اتحاد اتصالات السعودية المدرجة ضمن قطاع الاتصالات في سوق المال السعودي خلال الفترة الممتدة من 01 جانفي 2010 إلى غاية 31 ديسمبر 2015. وبعد استخدام العديد من نماذج ARCH المتناظرة وغير المتناظرة، وجدنا من خلال المفاضلة بين هذه النماذج و بناءا على عدة معايير أن أحسن نموذج يمكنه تمثيل السلسلة الزمنية لأسعار الأسهم هو نموذج ARIMA(1,1,3) مع خطأ TGARCH(1,1). و أظهرت النتائج أيضا أن الصدمات الموجبة المترافقة مع الأخبار الجيدة تعطي تقلبات أقل حدة من تلك الصدمات السالبة المترافقة مع الأخبار السيئة. The aim of this paper is to model 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 and comparing many symmetric and asymmetric ARCH models, we found that the best model, which represent the stock price series is ARIMA(1,1,3)-TGARCH(1,1). The results also showed that positive shocks associated with good news give less severe fluctuations than negative shocks associated with bad news

Suggested Citation

  • LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017. "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية – [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper 84263, University Library of Munich, Germany, revised Oct 2017.
    • Handle: RePEc:pra:mprapa:84263
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    Keywords

    الكلمات المفتاحية: السوق المالي، نماذج ARIMA، نماذج ARCH، أسعار الأسهم.;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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