@article {10.3844/jmssp.2012.98.106,
article_type = {journal},
title = {A Study on the Behavior of Volatility in Saudi Arabia Stock Market Using Symmetric and Asymmetric GARCH Models},
author = {Freedi, Ajab Al and Shamiri, Ahmed and Isa, Zaidi},
volume = {8},
year = {2012},
month = {Feb},
pages = {98-106},
doi = {10.3844/jmssp.2012.98.106},
url = {https://thescipub.com/abstract/jmssp.2012.98.106},
abstract = {Problem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence) in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31 March 2009. The sample period is divided into three sub-periods according to the local crisis in 2006. Results: The results reveal that asymmetric models with heavy tailed densities improve overall estimation of the conditional variance equation. Moreover, we find that AR (1)-GJR GARCH model with Student-t outperform the other models during and before the local crisis in 2006, while AR (1)-GARCH model with GED exhibits a better performance after the crisis. Furthermore, the findings reveal the existence of leverage effect at 1 percent significance level. Conclusion/Recommendations: Finally, the volatility persistent in the samples during and after crises decreases in all models under various distribution assumptions.},
journal = {Journal of Mathematics and Statistics},
publisher = {Science Publications}
}