Modeling the volatility of stock prices for the Saudi stock market general index (TASI)

Abstract

This Paper aims to model the daily closing prices of the General Index (TASI), which expresses the Saudi stock market by studying three time periods, The first period is short, which extends from (October 1, 2018 to May 21, 2020) and the intermediate extends from (January 1, 2017 to May 21, 2020), a total period extends from (April 26, 2015 to May 21, 2020) Using a number of GARCH family models through identification, estimation, selecting the best model, diagnosis chickening of the model and forecasting. The results concluded that the best model for representing the time series data for the intermediate and total period is the model is EGARCH (1,1) As for the short period, the best model is TGARCH (1,1).