استخدام النماذج الهجينة Arima-Garch للتنبؤ بعوائد مؤشر الأسواق المالية : دراسة حالة السوق المالي السعودي خلال الفترة 2009-2019

الملخص EN

This study came to address the problem of fluctuations in financial market indicators in light of economic changes and unstable financial crises, by predicting the future trends of the revenues of the financial market indicators in Saudi Arabia, using econometric modeling of weekly data for the period from 04/01/2009 to 01/12 2019, with 570 views.

The study aims to find out the optimal model of the ARIMA-GARCH hybrid models to predict the revenues of the Saudi financial market index during the aforementioned study period, and the extent of its ability to estimate and explain the fluctuations in the revenues of the Saudi financial market index.

TADAWUL.

The expected results indicate that the ARIMA(1.

1.

1)-GARCH(1.

1) hybrid model is able to predict the future trends of the fluctuations in the revenues of the Saudi financial market index during the study periods, thus enabling it to face the fluctuations and potential risks of the financial markets.