Global Journal of Economics and Business

Volume 9 - Issue 3 (11) | PP: 638 - 650 Language : العربية
DOI : https://doi.org/10.31559/GJEB2020.9.3.11
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Studying the impact of positive and negative shocks on the stock return volatility in Boursa Kuwait and Dubai financial market using GARCH family models

Shady I. Y. Al-Telbany ,
Tariq Abdul Aziz Al-Doub
Received Date Revised Date Accepted Date Publication Date
17/9/2020 20/10/2020 26/10/2020 23/12/2020
Abstract
This research aims to study the impact of positive and negative shocks on stock return volatility in Boursa Kuwait and Dubai Financial Market, during the period from January 2, 2019 to August 20, 2020. Methodology: comparison between symmetric and asymmetric GARCH models based on various criteria. Results: The study concludes that the best model to represent the volatility in stock returns in Boursa Kuwait, Dubai Financial Market is GARCH (1,1) model, TGARCH (1,1) model, Respectively. Conclusion: positive and negative shocks, have a symmetrical impact on the stock return volatility in Boursa Kuwait, whereas they have an asymmetrical impact on the stock return volatility in Dubai Financial Market.


How To Cite This Article
Al-Telbany , S. I. Y.& Al-Doub , T. A. A. (2020). Studying the impact of positive and negative shocks on the stock return volatility in Boursa Kuwait and Dubai financial market using GARCH family models . Global Journal of Economics and Business, 9 (3), 638-650, https://doi.org/10.31559/GJEB2020.9.3.11

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