التنبؤ بعوائد المحافظ الاستثمارية باستخدام نموذج الانحدار الذاتي المشروط بعدم ثبات التباين ARCH: دراسة تطبيقية على سوق عمان المالي

الموضوعات

اقتصاد

روابط وملفات

التعريف والنوع

رقم الوثيقة

0b161f90-71b9-43ec-b9a5-f5ec06102faf

رقم العقد

0

نوع الوسائط

Crawler

نوع المحتوى

الرسائل العلمية

صيغة المصدر

رسائل ماجيستير

نوع الملف

pdf text

أسماء الملفات

1959288_1.pdf

بيانات النشر

ترجمة العنوان

Forecasting The Portfolios' Returns Using Autoregressive Conditional Heteroskedasticity Model: Applied Study in Amman Stock Exchange)

ألقاب المؤلفين

[{"name_ar":" عبد القادر مندو","title_ar":"اشراف","title_en":"Supervision"},{"name_ar":"عثمان نقار ","title_ar":"اشراف","title_en":"Supervision"},{"name_ar":"ورد عبد العزيز كوجك","title_ar":"اعداد","title_en":"Preparation"}]

اللغة

Arabic

المصدر والدورية

اسم المصدر

التنبؤ بعوائد المحافظ الاستثمارية باستخدام نموذج الانحدار الذاتي المشروط بعدم ثبات التباين ARCH: دراسة تطبيقية على سوق عمان المالي

المحتوى والصفحات

عدد الصفحات

144

ترجمة الملخص

This study aimsto identify the effectiveness of using the autoregressive conditionalHeteroskedasticitymodel toforecastthe returnson investment portfolios in Amman Stock Exchange, as well as the possibility of relying on the mentioned model in providing relatively minor errors during the period from 2/1/2011 to29/12/2016by taking a daily return of(24) sharesof an optimal portfolio, in addition to the unweightedmarket index.Following the Box& Jenkins methodologywhich is used in time series analysis, a group of results were obtained. The time series of the returns of the unweightedindex and the optimal portfolio do not follow a random walk status during the studied period due to inability to detect a unit root, alsothe time series of the returns of the index is subject to a second-order autoregressiveand moving averages from thefirst-orderARMA (2.1) which indicate that the current value of the index return is affected by its value in the previous two days as well as affected by a set of random variables backsto the current day and the previous day. The variance of the returns of the index is also subject to GARCH (1,1). The investmentportfolio return series is subject to a third-orderautoregressiveand moving averages from the second-order ARMA (3.2), The results of the ARCH-LM test showed that the optimal portfolio returnvariability was constant over time, while the variance was not constant for the index returnseries, which confirms that the optimal portfolio has actually reduced the volatility of the returns. Based on the estimated models, the compatibility between the actual values and the predicted values was observed, indicating the ability and effectiveness of the proposed models to describe the behavior of the returns and their volatility during the studied period, as well as their ability to provide forecasts with relatively minor errors, which declared through the low values of RMSE and MAE.

كلمات الباحثين

Autoregressive, Diversification, Forecasting, Heteroskedasticity, Moving average, Portfolio, Time series, Unit root, الانحدار الذاتي, التنبؤ, التنويع, السلاسل الزمنية, المتوسط المتحرك, المحفظة الاستثمارية, جذر الوحدة, عدم ثبات التباين

إشراف وإعداد

الإشراف

عبد القادر مندو, عثمان نقار

الإعداد

ورد عبد العزيز كوجك

الاقتباسات الببليوغرافية