استخدام نماذج GARCH للتنبؤ بالصدمات في البورصات العربية كآلية لإدارة الأزمات

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.