محاولة نمذجة اتجاهات مؤشرات أسواق الأوراق المالية المتطورة

Abstract EN

The study aims to observe the trends of developed stock market indices.

By analyzing its statistical characteristics, it was found that average prices increased with a high fluctuation, which reflects a high degree of risk in these markets.

The results of ADF tests also showed that the indices are stationary in the first differences.

It was found that the series do not follow a normal distribution and residual tests showed that there is a problem of heterogeneity.

The estimation results of Garch models was noticed that the degree of persistence is very large indicating that the impact of shocks persists over long periods.

Also, the assumption of normal distribution of the return series is not realized, as their distributions are characterized by thick tails, So that the problem of heterogeneity cannot be completely eliminated.