تشخيص أنموذجات السلاسل الزمنية الكفوءة : تطبيق عملي

الملخص EN

The research aims to diagnose the best time series model for fluctuations in the monthly average price of Iraqi crude oil for the period (2006-2017), and to apply the stages of the Box-Jenkins method in building the appropriate model for volatility from the ARCH family and after conducting several statistical tests to study the stability of the studied series, And the detection of the existence of the problem of heterogeneity characteristics of these models, after converting the original chain to the return series, which is often used with financial time series, the best model was diagnosed as AR (1) and TARCH errors (2, 2) using differentiation criteria (AIC, SBC, HQ) and moral parameters.

The model is estimated to have achieved the lowest values for the mentioned criteria.

It was clear from the results that the shocks that occur in past periods destabilize, as well as the presence of asymmetry in positive and negative shocks, and there is a decrease in subsequent price volatility.