Forecasting volatility using Box-Jenkins model case of Amman stock exchange
Other Title(s)
التنبؤ بالتذبذبات باستخدام نموذج بكس جنكيز : دراسة حالة بورصة عمان
Dissertant
al-Khazailah, Mansur Muhammad Hamad
Thesis advisor
Comitee Members
Maqabilah, Ali
Abbad, Jumah
Jaradat, Mahmud
University
Al albayt University
Faculty
Faculty of Finance and Business Administration
Department
Department of Finance and Banking
University Country
Jordan
Degree
Master
Degree Date
2010
English Abstract
There are many forecasting techniques that can be used in the financial markets, the importance of forecasting is to able investment community to take their decisions about the future expectations, assets allocation, portfolio management, assets pricing and other benefits.
This thesis presents the Box-Jenkins model as one of the forecasting techniques, which we can use, in the financial time series.
The main aim of this study is to predict volatility of Amman Stock Exchange as one of the emerging markets for the indices of sectors banks, insurance, services, industry.
That is adopted to give an investment community a chance to plan about their buying or selling decisions for financial securities in the future.
That is achieved by finding the tentative Autoregressive Integrated Moving Average (ARIMA) models that describe the equation of the forecasting for each sector. The data are accumulated weekly from the web site of Amman Stock Exchange using the historical indices in the period froml / 1 / 2005-1 / 4 / 2010. We tested a number of the integrated equations by using co- integration test (Johansen test), the result of this test is that there were 4-co-integrating equations using trace test and maximum eigenvalue test, then we test the stationarity by using unit root test which indicates that there is a stationarity at level for banks, insurance and services, also the stationarity achieved at first difference for industry sector, and then use a minimum mean square error, t-statistics value and p-statistics value to choose the best ARIMA models at 95% confidence interval? The resulted models for this study for banks, insurance, services, industry respectively are : Z, = 0.0023745 + 0.6930Z, _2 -0.1042a, _2, Z, = 0.0064972 + 0.3657000Z _ Z, = 0.0008242 +0.9173ZM-0.7981ai_ Y, -7, _, = -0.1603(K, _, -Y, _2)-0.7569 at_ x From these proposed models we can get the forecasting equation for each sector.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
114
Table of Contents
Table of contents.
Abstract.
Chapter One : introduction.
Chapter Two : theoretical framework.
Chapter Three : literature review.
Chapter Four : analysis of the volatility for ASE sectors.
Chapter Five : ARIMA model analysis.
Chapter Six : main results and concluding remarks.
References.
American Psychological Association (APA)
al-Khazailah, Mansur Muhammad Hamad. (2010). Forecasting volatility using Box-Jenkins model case of Amman stock exchange. (Master's theses Theses and Dissertations Master). Al albayt University, Jordan
https://search.emarefa.net/detail/BIM-310883
Modern Language Association (MLA)
al-Khazailah, Mansur Muhammad Hamad. Forecasting volatility using Box-Jenkins model case of Amman stock exchange. (Master's theses Theses and Dissertations Master). Al albayt University. (2010).
https://search.emarefa.net/detail/BIM-310883
American Medical Association (AMA)
al-Khazailah, Mansur Muhammad Hamad. (2010). Forecasting volatility using Box-Jenkins model case of Amman stock exchange. (Master's theses Theses and Dissertations Master). Al albayt University, Jordan
https://search.emarefa.net/detail/BIM-310883
Language
English
Data Type
Arab Theses
Record ID
BIM-310883
