استخدام نماذج الانحدار الذاتي مشروط بعدم تجانس التباين GARCH للتنبؤ بالعائد اليومي لأسعار الذهب

Abstract EN

The importance of research into the use of Autoregressive Conditional Heteroscedasticity models of the variation in the world daily closure price for the period 2017_2020, include of those models ARCH, GARCH, EGARCH, GARCH- M, TGARCH, And then diagnose by using tests of the heterogeneity problem, And then these models are estimated using the maximum likelihood method (M.

L.

E), The fitness of the model is then checked by special tests and the best model is then selected by(AIC, SIC, H-Q) And the significance of the estimated parameters, Once the appropriate model has been selected, its suitability is checked for prediction through tests (MAE, S.

E, T ), the statistical program was used Eviews – 9 in extracting the results and results of the application on study data, the Best model for predicting gold price fluctuations has been found it TGARCH(2, 1).