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

Full metadata record

DC Field	Value	Language
dc.contributor.author	فاتح لقوقي	-
dc.contributor.author	محمد شيخي	-
dc.date.accessioned	2017-12	-
dc.date.available	2017-12	-
dc.date.issued	2017-12	-
dc.identifier.issn	1938-2170	-
dc.identifier.uri	http://dspace.univ-ouargla.dz/jspui/handle/123456789/16176	-
dc.description	Algerian business performance review	en_US
dc.description.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.	en_US
dc.language.iso	other	en_US
dc.relation.ispartofseries	numero 12 2017;	-
dc.subject	financial market	en_US
dc.subject	ARIMA models	en_US
dc.subject	ARCH models	en_US
dc.subject	stock prices	en_US
dc.title	Using ARCH Models to Modeling the Volatility of Stock Prices in the Saudi Financial Market	en_US
dc.type	Article	en_US
Appears in Collections:	numéro 12 2017 V6 n2

Files in This Item:

File	Description	Size	Format
ABPR_12_A10.pdf		313,52 kB	Adobe PDF	View/Open

DSpace JSPUI