مجلة أداء المؤسسات الجزائرية
Volume 12, Numéro 1, Pages 171-183

Using Arch Models To Modeling The Volatility Of Stock Prices In The Saudi Financial Market – A Case Study Of Etihad Etisalat Saudi Arabia –

الكاتب : Legougui Fateh .

الملخص

The aim of this Paper is 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

الكلمات المفتاحية

Financial Market, ARIMA Models, ARCH Models, Stock Prices

Volatility Modeling Of Islamic Stock Indices Returns Using Garch Models

Sahnoune Sid Ahmed .  Benlaib Boubakeur . 
pages 551-562.