قياس و تحليل تطاير أسعار الأسهم في سوق أبوظبي للأوراق المالية بإستخدام نماذج Arch خلال الفترة 2007-2019

الملخص EN

The theory of finance considers the stock market volatility and its measurement as main issues to be studied.

Therefore, this study tries to forecasting the volatility of Abu Dhabi Stock Market, using ARCH models with symmetric and asymmetric effects through analyzing the daily market index data for the period of 2007-2019.

The study concluded that the Abu Dhabi Stock Market was inefficient at the weak level, and that the GJR-GARCH model may be the best to represent the market volatility, and has had the ability to exhibit the leverage effect.