Forecasting volatility of Saudi stock market (TASI) and sectoral indices
Year of publication: |
2023
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Authors: | Kumaran, Sunitha |
Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 13.2023, 6, p. 819-842
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Subject: | volatility clustering | persistence | leverage effect | asymmetry effect | GARCH | Saudi Stock Market Composite Index | TASI | volatility forecast | conditional volatility | asymmetry volatility tools | portfolio construction | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Saudi-Arabien | Saudi Arabia | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Schätzung | Estimation | Börsenkurs | Share price |
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