المقارنة بين نماذج Garch المتماثلة وغير المتماثلة : تطبيق على التقلبات المالية لعوائد المؤشر العام (Gnri)‎ لبورصة قطر للأوراق المالية

Abstract EN

This study aims at estimating the daily financial fluctuations of the returns of the General Financial Market Index (GNRI) for the period 01/01/2018 to 30/06/2020, and the continuity of shocks to the fluctuations of the Qatar Stock Exchange, where the descriptive and deductive approach has been adopted, and applying GARCH (p, q) symmetric and asymmetric models to the study data, the latter concluded that the best model with the same effect is the GARCH-M (1, 1) model, and the best model with an asymmetric effect is the EGARCH (1, 1) model.

The study also found that there is a continuity of past shocks and fluctuations on future changes, but decreasing gradually over time, which means that the returns of the general stock market index have the particularity of moving to the mean.

For stocks, this means that the impact of negative shocks is more important than the effect of positive shocks on volatility.