Abstract
This paper investigates the volatility of Amman stock exchange volatility during the period 1994–2013, also the paper focuses on the performance of various Garch models, were Arch model not dismissed in term of their ability of delivering volatility forecasts for Amman stock market return data, in this paper a stationary Garch models were estimated, I have assess the performance of the maximum likelihood estimator, finally I have attempt to fit the dynamic of daily Amman stock return, by different models and BL, approach. A quantified data of the returns of weekly dealing has been used to achieve the goals of paper, enhance the (?) leverage used to test for asymmetric volatility. This paper is an attempt to study and modules the volatility of Amman stock market using daily observations as the day-of-a week return index for the period from January, 1994 through the period up to end of June, 2013, to achieve this purpose I have divided the period of study into two periods, then I have estimated the data by using Arch (1), Garch, E Garch, and the Go-Garch models are employed. Arch (1) and E-Garch models are utilized in this paper to have the symmetry effects, whereas E-Garch are used to capturing the asymmetric effect. Results can be stated as: the E-Garch model is most fitted model to forecasting data of returns volatility between Garch (1, 1) and Garch (1, 2) as model performance is very small, according to BL approach Alpha of AMS portfolio and frontiers returns is (-0.5492), and the risk ratio is (0.5683).
Highlights
ASE (Amman stock exchange) as any stock market in the development countries, it characterized by turnover ratio, it has low liquidity, the non existence of market decision makers and the turnover ratio for the period under investigation was 14.62%, the average turnover approximately daily is 0.78835%, this ratio is too few, and these respectively too small, the one of major action that might be effect trading activity
This paper has organized as follows: section one contain introduction, where the second section briefly discussed of Arch model, and Garch models as a literature review of these important models in financial date estimation and the models of the study paper, section three discussed the data sources and methodology, sample tests are conducted on forth section, while section five presents out-of-sample performance is analyzed and the empirical results
We can estimate γ1 by using maximum likelihood techniques, another variant Garch model to account for a symmetry known as E – Garch (1, 1) model by Nelson (1991), and can be written as: ln (σ2t) = C0 + a1 a2t-1 + γ1(a1t -1) + B1 ln (σ2t -1) / a1t- 1 (9)
Summary
ASE (Amman stock exchange) as any stock market in the development countries, it characterized by turnover ratio, it has low liquidity, the non existence of market decision makers and the turnover ratio for the period under investigation was 14.62%, the average turnover approximately daily is 0.78835%, this ratio is too few, and these respectively too small, the one of major action that might be effect trading activity. The trading volume increased year to year, these results indicates of visibility of ASE is superior than other stock markets in middle east region, it has undergone accelerated growth especially during the last 6 years due to stability and the Arab holder shares such Iraqi investors, Jordan government represented the board of international accounting standard. Emerging markets in developing countries got more attention in recent years due to some factors which effects the growth of gross national product (GDP), such as the fast and quick grew of returns of trading volume, increasing of number of listed companies in the emerging markets, market capitalization. A “robust standard errors,” has reduced the concern over heteroskedasticity, according sample size, robust standard errors gives precise estimate of standard errors, even with heteroskedasticity, due to small size of sample l, it is important to have heteroskedasticity correction which does not effect the coefficients, but there is other useful for this processes
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