Modeling the volatility of Banks index returns for the Saudi stock exchange using egarch model
Joint Authors
Mansuri, Hajj Musa
Qanun, Abd al-Haqq
Source
Revue al-Ijtihad des études juridiques et économiques
Issue
Vol. 10, Issue 2 (30 Jun. 2021), pp.13-26, 14 p.
Publisher
Centre Universitaire Tamanghasset
Publication Date
2021-12-31
Country of Publication
Algeria
No. of Pages
14
Main Subjects
Economy
Banking and Financial Sciences
Topics
Abstract EN
This study aims to model and measures the volatility of the returns of the banking sector in the Saudi stock exchange.
The study used the exponential generalized autoregressive conditional heteroskedastic (EGARCH) model.
The banking sector index (TBNI), comprises of daily data from the period from 1st April 2019 to 30st April 2020.
Asymmetry presence has been detected in the EGARCH model.
A using a Generalized Error Distribution was the most appropriate for the model.
Besides, we found that “bad news” tends to increase volatility in comparison with “good news”, because the world is going through a corona epidemic.
American Psychological Association (APA)
Mansuri, Hajj Musa& Qanun, Abd al-Haqq. 2021. Modeling the volatility of Banks index returns for the Saudi stock exchange using egarch model. Revue al-Ijtihad des études juridiques et économiques،Vol. 10, no. 2, pp.13-26.
https://search.emarefa.net/detail/BIM-1227049
Modern Language Association (MLA)
Mansuri, Hajj Musa& Qanun, Abd al-Haqq. Modeling the volatility of Banks index returns for the Saudi stock exchange using egarch model. Revue al-Ijtihad des études juridiques et économiques Vol. 10, no. 2 (Jun. 2021), pp.13-26.
https://search.emarefa.net/detail/BIM-1227049
American Medical Association (AMA)
Mansuri, Hajj Musa& Qanun, Abd al-Haqq. Modeling the volatility of Banks index returns for the Saudi stock exchange using egarch model. Revue al-Ijtihad des études juridiques et économiques. 2021. Vol. 10, no. 2, pp.13-26.
https://search.emarefa.net/detail/BIM-1227049
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 24-26
Record ID
BIM-1227049
