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

Please use this identifier to cite or link to this item: https://dspace.univ-ouargla.dz/jspui/handle/123456789/16176

Title:	Using ARCH Models to Modeling the Volatility of Stock Prices in the Saudi Financial Market
Authors:	فاتح لقوقي محمد شيخي
Keywords:	financial market ARIMA models ARCH models stock prices
Issue Date:	Dec-2017
Series/Report no.:	numero 12 2017;
Abstract:	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.
Description:	Algerian business performance review
URI:	http://dspace.univ-ouargla.dz/jspui/handle/123456789/16176
ISSN:	1938-2170
Appears in Collections:	numéro 12 2017 V6 n2

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