دراسة أثر الصدمات الإيجابية و السلبية على تقلبات عوائد بورصة الكويت و سوق دبي المالي باستخدام نماذج عائلة GARCH

Abstract EN

This research aims to study the impact of positive and negative shocks on stock return volatility in Boursa Kuwait and Dubai Financial Market, during the period from January 2, 2019 to August 20, 2020.

Methodology: comparison between symmetric and asymmetric GARCH models based on various criteria.

Results: The study concludes that the best model to represent the volatility in stock returns in Boursa Kuwait, Dubai Financial Market is GARCH (1,1) model, TGARCH (1,1) model, Respectively.

Conclusion: positive and negative shocks, have a symmetrical impact on the stock return volatility in Boursa Kuwait, whereas they have an asymmetrical impact on the stock return volatility in Dubai Financial Market.