Market trend and stock return movement forecasting using GARCH and kalman filter methods : case of the Moroccan stock exchange market
Dissertant
Thesis advisor
Sharafi, Abd al-Latif
Alawi, Abd al-Hamid Hamidi
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2014
English Abstract
Forecasting the stock market movement has continuously been an appealing endeavor to many researchers.
Different methods have been tested with the solely objective, finding the method that provides the best forecasting capability.
The present study shed light on the Moroccan stock market as an important market in the MENA region that receives little share of attention in terms of research.
Throughout this work, we will investigate the forecasting ability of GARCH and Kalman Filter methods and consider the one that contribute to the highest estimation ability.
Using accumulative historical data of 6 years, the daily rates of return of MASI index and 54 Moroccan companies were forecasted using the two models.
The findings of this research demonstrate that although Kalman Filter proves better results than GARCH in terms of correct forecasts, GARCH model was slightly improved by the filtering effect.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
40
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Problem identification.
Chapter Three : Research objectives.
Chapter Four : Potential audience.
Chapter Five : Literature review.
Chapter Six : Data gathering.
Chapter Seven : Methodology.
Chapter Eight : Empirical results.
Chapter Nine : Discussion of the results.
Chapter Ten : Conclusion.
References.
American Psychological Association (APA)
al-Khalil, Fadwa. (2014). Market trend and stock return movement forecasting using GARCH and kalman filter methods : case of the Moroccan stock exchange market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-627455
Modern Language Association (MLA)
al-Khalil, Fadwa. Market trend and stock return movement forecasting using GARCH and kalman filter methods : case of the Moroccan stock exchange market. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2014).
https://search.emarefa.net/detail/BIM-627455
American Medical Association (AMA)
al-Khalil, Fadwa. (2014). Market trend and stock return movement forecasting using GARCH and kalman filter methods : case of the Moroccan stock exchange market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-627455
Language
English
Data Type
Arab Theses
Record ID
BIM-627455
