إمكانية استخدام نماذج الانحدار الذاتي المشروط بعدم ثبات تباين الأخطاء في نمذجة عوائد مؤشر كاك 40 في ظل جائحة كورونا

الملخص EN

This article aims to study the possibility of modeling the sharp fluctuations in the returns of the CAC40 index on the Paris Stock Exchange, resulting from the Corona Covid-19 pandemic, using GARCH, through 1328 daily observations of the index return.

The study concluded, through a comparison between several models, that the AutoRegressive Conditional Heteroskedasticity may model the series of returns of the CAC 40 index despite the sharp fluctuations, as the returns follow the ARMA (1, 1) model, while the rest follow the GARCH (1, 1) model.