دراسة قياسية تحليلية لتقلبات عوائد أسهم بورصة الإمارات العربية المتحدة باستخدام نماذج عائلة Garch

الملخص EN

This study aims to model and analysis the volatility of the UAE stock market returns using the family GARCH models, and focusing on GARCH, EGARCH, TGARCH and ARMA model.

the study used the daily returns of the IMI index during the period from 15/02/2013 to 15/02/2018.

the results indicated that the ARMA-GARCH(1, 1)(1, 1) model showed that the shocks of volatility are completely permanent, and the ARMA-EGARCH(1, 1)(1, 1) model resulted in a leverage effect within the returns, while The ARMA-TGARCH(1, 1)(1, 1) model has showed that negative shocks (bad news) have a greater impact on return volatility than positive shocks (good news).