نمذجة التذبذبات في الأسواق المالية الناشئة: حالة سوق دمشق للأورق المالية خلال الفترة 2010-2016

Abstract

تهدف هذه الدراسة إلى اختيار النموذج الأمثل لنمذجة تذبذبات عوائد مؤشر سوق دمشق للأوراق المالية. بالاعتماد على البيانات اليومية لسلسلة عوائد مؤشر سوق دمشق خلال الفترة الزمنية من1/1/2010 ولغاية 31/12/2016، تم تطبيق مجموعتين من نماذج الانحدار الذاتي المعمم المشروط بعدم ثبات التباين ((GARCH، وهما نماذج لقياس الأثر المتماثل ونماذج لقياس الأثر غير المتماثل. ولغاية اختيار النموذج الأمثل تم اجراء عدد من الاختبارات وهي (AIC),(SIC),  وLogLikelihood (LL). بينت نتائج الدراسة أن نموذج EGARCHهو النموذج الأمثل للتذبذب، كما أظهر تطبيق نماذج GARCH لقياس الأثر غير المتماثل وجود هذا الأثر وغياب أثر الرافعة بمعنى أن أثر الصدمات الموجبة على التذبذب أكبر من أثر الصدمات السالبة. كما وأظهرت الدراسة أنّ للأزمة أثراً سلبياً على عوائد وتذبذبات مؤشر السوق.

This study aimed at chossing the optimal model for modeling volatility in the Damascus Securities Exchange using daily data of the index for the period from 1/1/2010 to 29/12/2016. The study utilizes two sets of GARCH models.One for measuring the symmetric effect and the other for measuring the asymmetric effect. In order to choose the optimal model, the following testswere applied:AIC,SIC, LL. The study revealed that the EGARCH model is the optimal model for volatility. Applying the GARCH models to measure the asymmetric effect showedthe presence of asymmetric effect and the absence of leverage effect. The study also showed that the crisis has a negative impact on returns and volatility on the market index, which reveals the existence of positive correlation between return and volatility.

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Published

2019-04-14

How to Cite

1.
نمذجة التذبذبات في الأسواق المالية الناشئة: حالة سوق دمشق للأورق المالية خلال الفترة 2010-2016. Tuj-econ [Internet]. 2019Apr.14 [cited 2024Nov.25];41(2). Available from: https://journal.tishreen.edu.sy/index.php/econlaw/article/view/8615

Issue

Vol. 41 No. 2 (2019): العلوم الاقتصادية والقانونية

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Articles

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