استخدام نماذج ARCH لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي

الملخص EN

The aim of this paper is to modeling the daily closing prices of Etihad Etisalat in the Saudi's telecom sector during the period from 01 January 2010 to 31 December 2015.

After using many models ARCH symmetric and asymmetric, we found that by comparing these Models and based on several criteria the best model that can represent the stock price time series is ARIMA (1,1,3) with a TGARCH (1,1) error.

The results also showed that positive shocks associated with good news give less severe fluctuations than negative shocks associated with bad news.