نمذجة وتحليل تقلبات عوائد مؤشرات داو جونز الإسلامية باستخدام نماذج ARCH
الكلمات المفتاحية:
شريعة, تصفية, أثر رافعة, نماذج, GARCH
الملخص
تهدف الدراسة إلى نمذجة وتحليل تقلبات مؤشر داو جونز الإسلامي، مستخدمة في ذلك نماذج الانحدار الذاتي المعمم المشروط بعد تجانس التباين المتناظرة وغير المتناظرة، وذلك بالإعتماد على البيانات اليومية لعوائد مؤشر داو جونز الإسلامي خلال فترة الدراسة الممتدة من 04/01/2010 إلى 05/15/2020. أشارت النتائج أن عوائد مؤشر داو جونز الإسلامي لها نفس الحقائق النمطية الموجودة في السلاسل الزمنية المالية، كما أظهرت النتائج أن أفضل نموذج لنمذجة التقلبات هو نموذج PGARCH.
المراجع
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- Bollerslev, T. (1986), Generalized autoregressive conditional heteroskedasticity, Journal of econometrics,31(3).
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- EL Khamlichi, A., & Viallefont, A. (2015), La performance des indices boursiers en finance islamique: Une Meta-analyse, Revue de Gestion et d’Économie, 3(1).
- Matei, M. (2009),Assessing volatility forecasting models: why GARCH models take the lead, Romanian Journal of Economic Forecasting, 12(4).
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- Nelson, D. (1991),Conditional heteroskedasticity in asset returns: A new approach, Econometrica: Journal of the Econometric Society, pp. 347-370.
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- Soualili , S., & Belghait , B. (2018),Modeling the daily return volatility of the CAC 40 index by applying the APGARCH model, Revue des Réformes Economiques et Intégration En Economie Mondiale, 12(26).
- Wiphatthanananthakul, C., & Sriboonchitta, S. (2010),The Comparison among ARMA-GARCH,-EGARCH,-GJR, and-PGARCH models on Thailand Volatility Index, The Thailand Econometrics Society, 2(2).
- Chiadmi, M. (2015). La volatilité des indices boursiers islamiques dans le contexte de la crise financière (Doctoral dissertation). Ecole Mohammadia d'Ingénieurs.
- EL Khamlichi, A. (2012). Éthique et performance: le cas des indices boursiers et des fonds d’investissement en finance islamique (Doctoral dissertation). Ferrand I: Université d'Auvergne-Clermont
- Majidi, E. (2016). Finance islamique et croissance économique: quelles interactions dans les pays MENA (Doctoral dissertation). Université de Pau.
- Al- Ahmad, Z., & Kusai Salman, A. (2019),Modeling Volatility in Emerging Stock Markets: The Case of Damascus Securities Exchange, Tishreen University Journal for Research and Scientific Studies -Economic and Legal Sciences Series, 41(2).
- Ben Nasr, A., & Ajmi, A. (2014),Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model, Applied Financial Economics, 24(14).
- Besseba, A., & Benchiha, K. (2019),Analysis the Effect of Exchange Rate Volatility on Islamic Stock Indices Performance: An Empirical Study of the Dow Jones Islamic Market, Dirassat Journal Economic Issue, 11(1).
- Bollerslev, T. (1986), Generalized autoregressive conditional heteroskedasticity, Journal of econometrics,31(3).
- Chiadmi, M., & Ghaiti , F. (2014),Modeling volatility of Islamic stock indexes: Empirical evidence and comparative analysis, DLSU Business & Economics Review, 24(1).
- EL Khamlichi, A., & Viallefont, A. (2015), La performance des indices boursiers en finance islamique: Une Meta-analyse, Revue de Gestion et d’Économie, 3(1).
- Matei, M. (2009),Assessing volatility forecasting models: why GARCH models take the lead, Romanian Journal of Economic Forecasting, 12(4).
- Namugaya, J., Weke, P., & Charles, W. (2014),modelling stock returns volatility on Uganda securities exchange, Applied Mathematical Sciences, 8(104).
- Nelson, D. (1991),Conditional heteroskedasticity in asset returns: A new approach, Econometrica: Journal of the Econometric Society, pp. 347-370.
- Rejeb, A., & Arfaoui, M. (2019),Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach, European Journal of Management and Business Economics, 28(3).
- Sahnoune, S., & Benlaib, B. (2019),Volatility Modeling of Islamic Stock Indices Returns Using GARCH Models, El-Bahith Review, 19(1).
- Soualili , S., & Belghait , B. (2018),Modeling the daily return volatility of the CAC 40 index by applying the APGARCH model, Revue des Réformes Economiques et Intégration En Economie Mondiale, 12(26).
- Wiphatthanananthakul, C., & Sriboonchitta, S. (2010),The Comparison among ARMA-GARCH,-EGARCH,-GJR, and-PGARCH models on Thailand Volatility Index, The Thailand Econometrics Society, 2(2).
منشور
2022-06-05
كيفية الاقتباس
BOUHAFS, I. (2022). نمذجة وتحليل تقلبات عوائد مؤشرات داو جونز الإسلامية باستخدام نماذج ARCH. مجلة الامتياز لبحــوث الاقتصاد والادارة, 6(1), 409-424. https://doi.org/10.34118/jeemr.v6i1.3586
إصدار
القسم
Original Article
