Modeling the volatility of stock prices for the Saudi stock marketgeneral index (TASI)
DOI:
https://doi.org/10.21533/pen.v8.i4.1365Abstract
This paper aims to model the daily closing prices of the General Index (TASI), which expresses the Saudi
stock market by studying three time period. 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). GARCH family models were used through identification, estimation,
selecting the best model, diagnosis checking 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).
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