{"id":7576,"date":"2023-08-01T04:23:15","date_gmt":"2023-08-01T04:23:15","guid":{"rendered":"https:\/\/www.hnjournal.net\/?page_id=7576"},"modified":"2023-08-01T04:23:19","modified_gmt":"2023-08-01T04:23:19","slug":"4-8-16","status":"publish","type":"page","link":"https:\/\/www.hnjournal.net\/ar\/4-8-16\/","title":{"rendered":"\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628 \u0641\u064a \u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u0642\u064a\u0645\u0629 \u0627\u0644\u0645\u0639\u0631\u0636\u0629 \u0644\u0644\u062e\u0637\u0631 \u0644\u0639\u0648\u0627\u0626\u062f \u0633\u0648\u0642 \u0627\u0644\u0623\u0648\u0631\u0627\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0644\u0633\u0639\u0648\u062f\u064a\u0629"},"content":{"rendered":"

\u0641\u0648\u0627\u0632 \u062d\u0633\u0646 \u0627\u062d\u0645\u062f \u0627\u0644\u0642\u0627\u0633\u0645\u064a1<\/sup><\/strong><\/p>\n

1<\/sup> \u0623\u0633\u062a\u0627\u0630 \u0627\u0644\u0625\u062d\u0635\u0627\u0621 \u0627\u0644\u0645\u0633\u0627\u0639\u062f\u060c \u0643\u0644\u064a\u0629 \u0627\u0644\u0639\u0644\u0648\u0645 \u0627\u0644\u0625\u062f\u0627\u0631\u064a\u0629\u060c \u062c\u0627\u0645\u0639\u0629 \u0639\u062f\u0646\u060c \u0627\u0644\u064a\u0645\u0646.<\/p>\n

\u0628\u0631\u064a\u062f \u0627\u0644\u0643\u062a\u0631\u0648\u0646\u064a: fawazkassim20@gmail.com<\/p>\n

HNSJ, 2023, 4(8); https:\/\/doi.org\/10.53796\/hnsj4816<\/p>\n

\u062a\u0646\u0632\u064a\u0644 \u0627\u0644\u0645\u0644\u0641<\/a><\/p>\n

\u062a\u0627\u0631\u064a\u062e \u0627\u0644\u0646\u0634\u0631: 01\/08\/2023\u0645 \u062a\u0627\u0631\u064a\u062e \u0627\u0644\u0642\u0628\u0648\u0644: 21\/07\/2023\u0645<\/p>\n

\u0627\u0644\u0645\u0633\u062a\u062e\u0644\u0635 <\/strong><\/p>\n

\u0647\u062f\u0641\u062a \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0625\u0644\u0649 \u0648\u0636\u0639 \u0646\u0645\u0648\u0630\u062c \u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0639\u0648\u0627\u0626\u062f \u0633\u0648\u0642 \u0627\u0644\u0623\u0648\u0631\u0627\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0644\u0633\u0639\u0648\u062f\u064a\u0629 (TASI) \u0628\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0627\u0644\u0645\u0624\u0634\u0631 \u0627\u0644\u0639\u0627\u0645 \u0644\u0644\u0623\u0633\u0647\u0645 TASI.SR \u0627\u0644\u064a\u0648\u0645\u064a \u0644\u0644\u0641\u062a\u0631\u0629 \u0645\u0646 19\/01\/2015 \u0625\u0644\u0649 8\/7\/2023\u060c \u062a\u0645 \u062a\u0642\u062f\u064a\u0631 \u062a\u0642\u0644\u0628\u0627\u062a \u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0633\u0648\u0642 \u0628\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0643\u0644 \u0645\u0646 \u0646\u0645\u0648\u0630\u062c EGARCH\u060c \u0648\u0646\u0645\u0648\u0630\u062c <\/a>GJR-GARCH \u0628\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0627\u0644\u062a\u0648\u0632\u064a\u0639 \u0627\u0644\u0637\u0628\u064a\u0639\u064a \u0648\u062a\u0648\u0632\u064a\u0639 T\u060c \u0648\u062a\u0645 \u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0637\u0631\u064a\u0642\u062a\u064a\u0646 \u0644\u0644\u062a\u0642\u062f\u064a\u0631 \u0647\u064a \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0625\u0645\u0643\u0627\u0646 \u0627\u0644\u0623\u0639\u0638\u0645 \u0648\u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628\u060c \u0648\u0623\u0638\u0647\u0631 \u0627\u0644\u0633\u0648\u0642 \u062a\u0648\u0632\u064a\u0639\u064b\u0627 \u063a\u064a\u0631 \u0637\u0628\u064a\u0639\u064a\u0627 \u0644\u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0645\u0624\u0634\u0631\u060c \u0627\u0630 \u064a\u062f\u0644 \u0639\u0644\u0649 \u062a\u0623\u062b\u064a\u0631\u0627\u062a ARCH \u0648\u062a\u062c\u0645\u064a\u0639 \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0641\u064a \u0635\u0648\u0631\u0629 \u0639\u0646\u0627\u0642\u064a\u062f \u0648\u0627\u0633\u062a\u0645\u0631\u0627\u0631\u0647\u0627\u060c \u0641\u064a \u062d\u064a\u0646 \u062a\u0645 \u0627\u0644\u0643\u0634\u0641 \u0639\u0644\u0649 \u0648\u062c\u0648\u062f \u0623\u062b\u0631 \u0644\u0644\u0631\u0627\u0641\u0639\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0630 \u062a\u0624\u062f\u064a \u0625\u0644\u0649 \u062a\u0642\u0644\u0628\u0627\u062a \u0639\u0627\u0644\u064a\u0629\u060c \u0648\u0645\u0646 \u062e\u0644\u0627\u0644 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0648\u0627\u0644\u062a\u062d\u0644\u064a\u0644 \u062a\u0645 \u0627\u0644\u062a\u0648\u0635\u0644 \u0627\u0644\u0649 \u0627\u0646 \u0646\u0645\u0648\u0630\u062c GJR-GARCH \u0628\u062a\u0648\u0632\u064a\u0639 (T) \u0627\u0641\u0636\u0644 \u0645\u0646 \u0646\u0645\u0648\u0630\u062c EGARCH \u0628\u062a\u0648\u0632\u064a\u0639 (T)\u060c \u0643\u0645\u0627 \u0627\u0646 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628 \u0627\u0643\u062b\u0631 \u062f\u0642\u0629 \u0645\u0646 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0625\u0645\u0643\u0627\u0646 \u0627\u0644\u0623\u0639\u0638\u0645 \u0641\u064a \u062a\u0642\u062f\u064a\u0631 \u0627\u0644\u0646\u0645\u0627\u0630\u062c\u060c \u0643\u0645\u0627 \u062a\u0648\u0635\u0644\u062a \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0627\u0644\u0649 \u0627\u0646 \u0646\u0645\u0648\u0630\u062c bootstrap-GJR-GARCH(1,1)-T\u060c \u0627\u0641\u0636\u0644 \u0627\u0644\u0646\u0645\u0627\u0630\u062c \u0627\u0644\u0645\u0644\u0627\u0626\u0645\u0629 \u0644\u0627\u062e\u062a\u0628\u0627\u0631 \u0627\u0644\u062a\u0623\u062b\u064a\u0631\u0627\u062a \u063a\u064a\u0631 \u0627\u0644\u0645\u062a\u0645\u0627\u062b\u0644\u0629 \u0644\u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0645\u0624\u0634\u0631 \u0627\u0644\u0639\u0627\u0645 \u0641\u064a \u0633\u0648\u0642 \u0627\u0644\u0623\u0648\u0631\u0627\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0644\u0633\u0639\u0648\u062f\u064a.<\/p>\n

\u0627\u0644\u0643\u0644\u0645\u0627\u062a \u0627\u0644\u0645\u0641\u062a\u0627\u062d\u064a\u0629: <\/strong>\u0646\u0645\u0648\u0630\u062c EGARCH\u060c GJR-GARCH\u060c \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628\u060c \u0627\u0644\u0645\u0624\u0634\u0631 \u0627\u0644\u0639\u0627\u0645 \u0627\u0644\u0633\u0639\u0648\u062f\u064a.<\/p>\n

<\/a>Research title <\/strong><\/p>\n

Using the bootstrap method to predict the value at risk of the returns of the Saudi stock market<\/strong><\/p>\n

Fawaz Hassan Ahmed Al Qasimi1<\/sup><\/strong><\/p>\n

1<\/sup> Assistant Professor of Statistics, College of Administrative Sciences, University of Aden, Yemen.<\/p>\n

Email: fawazkassim20@gmail.com<\/p>\n

HNSJ, 2023, 4(8); https:\/\/doi.org\/10.53796\/hnsj4816<\/p>\n

Published at 01\/08\/2023 Accepted at 21\/07\/2023 <\/strong><\/p>\n

Abstract <\/strong><\/p>\n

The study aimed to develop a model for the fluctuations of the stock market returns on the Saudi Stock Exchange (TASI) using the daily general stock index TASI.SR for the period from 19\/01\/2015 to 8\/7\/2023. The fluctuations of market returns were estimated using each of the EGARCH model , and the GJR-GARCH model using the normal distribution and the T distribution, and two estimation methods were used, the method of greatest possibility and the bootstrap method, and the market showed an abnormal distribution of index returns, as it indicates the effects of ARCH and the aggregation of fluctuations in the form of clusters and their continuity, while it was revealed that there is an effect of leverage Finance, as it leads to high fluctuations, and through the study and analysis it was concluded that the GJR-GARCH model with (Student) distribution is better than the EGARCH model with (student) distribution, and the bootstrap method is more accurate than the greatest possibility method in estimating models, and the study also concluded The bootstrap-GJR-GARCH(1,1)-T model is the best suited model for testing the asymmetric effects of the returns of the general index in the Saudi stock market.<\/p>\n

Key Words: <\/strong>EGARCH Model, GJR-GARCH, Bootstrap Method, Saudi General Index.<\/strong><\/p>\n

\u0627\u0644\u0645\u0642\u062f\u0645\u0629<\/strong><\/p>\n

\u062a\u0648\u062c\u062f \u0639\u062f\u0629 \u0637\u0631\u0642 \u0644\u0644\u062a\u0642\u062f\u064a\u0631 \u062a\u062a\u0635\u0641 \u0628\u0639\u0636\u0647\u0627 \u0628\u0627\u0646\u0647\u0627 \u0627\u0643\u062b\u0631 \u0645\u0644\u0627\u0626\u0645\u0629 \u0645\u0639 \u0637\u0628\u064a\u0639\u0629 \u0646\u0648\u0639 \u0645\u0627 \u0645\u0646 \u0627\u0644\u0628\u064a\u0627\u0646\u0627\u062a (\u0628\u064a\u0627\u0646\u0627\u062a \u0645\u0646\u062e\u0641\u0636\u0629 \u0627\u0644\u062a\u0643\u0631\u0627\u0631\u060c \u0628\u064a\u0627\u0646\u0627\u062a \u0645\u062a\u0648\u0633\u0637\u0629 \u0627\u0644\u062a\u0643\u0631\u0627\u0631\u060c \u0628\u064a\u0627\u0646\u0627\u062a \u0639\u0627\u0644\u064a\u0629 \u0627\u0644\u062a\u0643\u0631\u0627\u0631)\u060c \u0648\u0644\u0643\u0646 \u0645\u0639\u0638\u0645 \u062a\u0644\u0643 \u0627\u0644\u0637\u0631\u0642 \u062a\u062a\u0637\u0644\u0628 \u0627\u0641\u062a\u0631\u0627\u0636\u0627\u062a \u0645\u0639\u064a\u0646\u0629 \u062d\u0648\u0644 \u0627\u0644\u0645\u0639\u0627\u0644\u0645 \u0627\u0648 \u062d\u0648\u0644 \u0627\u0644\u0628\u064a\u0627\u0646\u0627\u062a \u0627\u0648 \u062d\u0648\u0644 \u0627\u0644\u062a\u0628\u0627\u064a\u0646 (\u062d\u062f \u0627\u0644\u062e\u0637\u0623)\u060c \u0648\u0644\u0627 \u0646\u0633\u062a\u0637\u064a\u0639 \u0627\u0644\u0648\u0641\u0627\u0621 \u0628\u062a\u0644\u0643 \u0627\u0644\u0627\u0641\u062a\u0631\u0627\u0636\u0627\u062a \u0648\u062e\u0627\u0635\u0629 \u0645\u0639 \u0627\u0644\u0628\u064a\u0627\u0646\u0627\u062a \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0639\u0627\u0644\u064a\u0629 \u0627\u0644\u062a\u0643\u0631\u0627\u0631\u060c \u0644\u0630\u0627 \u0648\u062c\u062f\u062a \u0623\u0633\u0627\u0644\u064a\u0628 \u0646\u0645\u0630\u062c\u0629 \u0645\u062a\u0642\u062f\u0645\u0629 \u0642\u0627\u062f\u0631\u0629 \u0639\u0644\u0649 \u0627\u0644\u062a\u0642\u0627\u0637 \u062a\u0644\u0643 \u0627\u0644\u062a\u0623\u062b\u064a\u0631\u0627\u062a \u0627\u0644\u0627\u0645\u0631 \u0627\u0644\u0630\u064a \u0627\u0633\u062a\u062f\u0639\u0649 \u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0637\u0631\u0642 \u0645\u062a\u0642\u062f\u0645\u0629 \u0644\u0644\u062a\u0642\u062f\u064a\u0631\u060c \u0648\u0645\u0646 \u0647\u0630\u0647 \u0627\u0644\u0637\u0631\u0642 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0627\u0645\u0643\u0627\u0646 \u0627\u0644\u0627\u0639\u0638\u0645 (MLE) \u0648\u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628 bootstrap \u060c \u0648\u0637\u0631\u064a\u0642\u0629 \u0634\u0628\u0647 \u0627\u0644\u0625\u0645\u0643\u0627\u0646 \u0627\u0644\u0623\u0639\u0638\u0645 \u0648\u0637\u0631\u0642 \u0627\u0644\u0645\u062d\u0627\u0643\u0627\u0629\u060c \u0648\u0637\u0631\u064a\u0642\u0629 \u0645\u062d\u0627\u0643\u0627\u0629 \u0627\u0644\u0639\u0632\u0648\u0645 \u0648\u063a\u064a\u0631\u0647\u0627\u060c \u0648\u0644\u0643\u0646 \u062a\u062a\u0637\u0644\u0628 \u0637\u0631\u064a\u0642\u0629 MLE \u0627\u0641\u062a\u0631\u0627\u0636 \u0627\u0644\u062a\u0648\u0632\u064a\u0639 \u0627\u0644\u0637\u0628\u064a\u0639\u064a \u0639\u0646\u062f \u062a\u0642\u062f\u064a\u0631 \u0627\u0644\u0645\u0639\u0644\u0645\u0627\u062a \u0648\u0627\u0644\u0630\u064a \u064a\u0635\u0639\u0628 \u0623\u062d\u064a\u0627\u0646\u064b\u0627 \u062a\u062d\u0642\u064a\u0642\u0647\u060c \u0648\u0641\u064a \u0627\u0644\u0648\u0642\u062a \u0646\u0641\u0633\u0647\u060c \u0644\u0627 \u062a\u062a\u0637\u0644\u0628 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628 bootstrap \u0627\u0641\u062a\u0631\u0627\u0636 \u0627\u0644\u062a\u0648\u0632\u064a\u0639 \u0627\u0644\u0637\u0628\u064a\u0639\u064a \u0641\u064a \u062a\u0642\u062f\u064a\u0631 \u0627\u0644\u0645\u0639\u0644\u0645\u0627\u062a\u060c \u0641\u0647\u064a \u0645\u0646\u0647\u062c\u064a\u0629 \u062a\u0642\u0648\u0645 \u0639\u0644\u0649 \u0625\u0639\u0627\u062f\u0629 \u0623\u062e\u0630 \u0639\u064a\u0646\u0627\u062a \u062a\u0647\u062f\u0641 \u0645\u0646 \u062e\u0644\u0627\u0644\u0647\u0627 \u0625\u0644\u0649 \u062a\u062d\u062f\u064a\u062f \u0627\u0644\u062e\u0637\u0623 \u0627\u0644\u0645\u0639\u064a\u0627\u0631\u064a \u0627\u0644\u0645\u0642\u062f\u0631 \u0644\u0641\u062a\u0631\u0627\u062a \u0627\u0644\u062b\u0642\u0629 \u0644\u0645\u0639\u0644\u0645\u0627\u062a \u0627\u0644\u0645\u062c\u062a\u0645\u0639.<\/p>\n

\u0648\u0641\u064a \u0627\u0644\u0628\u064a\u0627\u0646\u0627\u062a \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u064a\u0639\u062f \u0627\u0644\u062a\u0642\u0644\u0628 \u0645\u0642\u064a\u0627\u0633\u064b\u0627 \u0644\u0644\u062a\u063a\u064a\u064a\u0631 \u0641\u064a \u0627\u0644\u0639\u0627\u0626\u062f \u0628\u0645\u0631\u0648\u0631 \u0627\u0644\u0632\u0645\u0646 \u0648\u0627\u0644\u062a\u064a \u062a\u0639\u062f \u0641\u064a\u0647\u0627 \u0646\u0645\u0627\u0630\u062c \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0623\u062d\u062f \u0623\u0647\u0645 \u0627\u0644\u062e\u0637\u0648\u0627\u062a \u0641\u064a \u0627\u0644\u0646\u0645\u0630\u062c\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u060c \u062d\u064a\u062b \u064a\u0645\u0643\u0646 \u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0646\u0645\u0648\u0630\u062c \u0627\u0644\u062a\u0642\u0644\u0628 \u0644\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u062d\u062c\u0645 \u0627\u0644\u0645\u0637\u0644\u0642 \u0644\u0644\u0639\u0627\u0626\u062f\u0627\u062a \u0623\u0648 \u0643\u062b\u0627\u0641\u0629 \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0648\u062a\u0633\u0639\u064a\u0631 \u0627\u0644\u0623\u0635\u0648\u0644 \u0648\u0627\u062e\u062a\u064a\u0627\u0631 \u0627\u0644\u0645\u062d\u0641\u0638\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u060c \u0648\u062a\u0645 \u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0639\u062f\u062f \u0645\u0646 \u0627\u0644\u0646\u0645\u0627\u0630\u062c \u0641\u064a \u0627\u0644\u0646\u0645\u0630\u062c\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0645\u0646\u0647\u0627 \u0627\u0633\u0644\u0648\u0628 \u0627\u0644\u0627\u0646\u062d\u062f\u0627\u0631 \u0627\u0644\u0630\u0627\u062a\u064a \u0627\u0644\u0645\u0634\u0631\u0648\u0637 \u0628\u0639\u062f\u0645 \u062a\u062c\u0627\u0646\u0633 \u062d\u062f \u0627\u0644\u062e\u0637\u0623 (ARCH) \u0648\u0646\u0645\u0627\u0630\u062c \u0627\u0644\u0627\u0646\u062d\u062f\u0627\u0631 \u0627\u0644\u0630\u0627\u062a\u064a \u0627\u0644\u0634\u0631\u0637\u064a\u0629 \u0627\u0644\u0645\u0639\u0645\u0645\u0629 (GARCH)\u0627\u0644\u062a\u064a \u0627\u0635\u0628\u062d\u062a \u0645\u0646 \u0627\u0644\u0646\u0645\u0627\u0630\u062c \u0627\u0644\u0645\u0647\u0645\u0629 \u0641\u064a \u062f\u0631\u0627\u0633\u0629 \u0648\u062a\u062d\u0644\u064a\u0644 \u062a\u0642\u0644\u0628\u0627\u062a \u0628\u064a\u0627\u0646\u0627\u062a \u0627\u0644\u0633\u0644\u0627\u0633\u0644 \u0627\u0644\u0632\u0645\u0646\u064a\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0648\u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u0642\u064a\u0645\u0629 \u0627\u0644\u0645\u0639\u0631\u0636\u0629 \u0644\u0644\u062e\u0637\u0631 \u0641\u064a \u0627\u0644\u0627\u0633\u0648\u0627\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u060c \u0625\u0630 \u064a\u062a\u0637\u0644\u0628 \u0645\u0646 \u0627\u0644\u0645\u0634\u0627\u0631\u0643\u064a\u0646 \u0641\u064a \u0627\u0644\u0633\u0648\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0647\u062a\u0645\u0627\u0645 \u0643\u0628\u064a\u0631 \u0628\u0641\u062a\u0631\u0627\u062a \u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0645\u0633\u062a\u0642\u0628\u0644\u064a\u0629 \u0643\u0645\u0642\u0627\u064a\u064a\u0633 \u0644\u0639\u062f\u0645 \u0627\u0644\u062a\u0623\u0643\u062f \u0648\u062a\u0648\u0641\u064a\u0631 \u062a\u0648\u0642\u0639\u0627\u062a \u0645\u0643\u062b\u0641\u0629 \u0644\u0623\u0633\u0639\u0627\u0631 \u0627\u0644\u0645\u062d\u0641\u0638\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0648\u062a\u062a\u0628\u0639 \u062c\u0648\u0627\u0646\u0628 \u0645\u0639\u064a\u0646\u0629 \u0645\u0646 \u0647\u0630\u0647 \u0627\u0644\u062a\u0648\u0642\u0639\u0627\u062a \u0645\u062b\u0644 \u0627\u0644\u0642\u064a\u0645\u0629 \u0627\u0644\u0645\u0639\u0631\u0636\u0629 \u0644\u0644\u062e\u0637\u0631.<\/p>\n

\u0648\u0645\u0639 \u0627\u0644\u062a\u0623\u0643\u064a\u062f \u0628\u0623\u0646 \u0627\u0644\u0633\u0644\u0627\u0633\u0644 \u0627\u0644\u0632\u0645\u0646\u064a\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u062a\u0638\u0647\u0631 \u0639\u0627\u062f\u0629\u064b \u0623\u0646\u0645\u0627\u0637 \u0639\u062f\u0645 \u062a\u0646\u0627\u0633\u0642 \u0641\u064a \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0627\u0644\u062a\u064a \u062a\u0633\u0645\u0649 \u062a\u0623\u062b\u064a\u0631\u0627\u062a \u0627\u0644\u0631\u0627\u0641\u0639\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u060c \u062a\u0645 \u0625\u062f\u062e\u0627\u0644 \u0639\u0645\u0644\u064a\u0627\u062a GARCH \u063a\u064a\u0631 \u0627\u0644\u0645\u062a\u0645\u0627\u062b\u0644\u0629 \u0644\u0644\u062a\u062d\u0642\u064a\u0642 \u0641\u064a \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u063a\u064a\u0631 \u0627\u0644\u0645\u062a\u0645\u0627\u062b\u0644\u0629\u060c \u0643\u0645\u0627 \u062a\u0645 \u062a\u0648\u062c\u064a\u0647 \u0627\u0644\u0643\u062b\u064a\u0631 \u0645\u0646 \u0627\u0644\u0623\u0628\u062d\u0627\u062b \u0625\u0644\u0649 \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u063a\u064a\u0631 \u0627\u0644\u062b\u0627\u0628\u062a\u0629 \u0644\u0644\u062a\u0639\u0627\u0645\u0644 \u0645\u0639 \u0641\u062a\u0631\u0627\u062a \u0627\u0644\u0635\u0639\u0648\u062f \u0648\u0627\u0644\u0647\u0628\u0648\u0637 \u0627\u0644\u0645\u0631\u062a\u0641\u0639\u0629 \u0627\u0644\u0645\u062a\u0643\u0631\u0631\u0629 \u0641\u064a \u0627\u0644\u0633\u0644\u0627\u0633\u0644 \u0627\u0644\u0632\u0645\u0646\u064a\u0629 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u060c \u0648\u062a\u062a\u0646\u0627\u0648\u0644 \u0647\u0630\u0647 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0627\u0644\u0646\u0645\u0627\u0630\u062c \u063a\u064a\u0631 \u0627\u0644\u0645\u062a\u0645\u0627\u062b\u0644\u0629 \u0648\u063a\u064a\u0631 \u0627\u0644\u062b\u0627\u0628\u062a\u0629 \u0645\u0646 \u0646\u0648\u0639 EGARCH\u060c \u0648\u0646\u0645\u0648\u0630\u062c GJR-GARCH \u0648\u062a\u0642\u062f\u064a\u0631\u0647\u0645\u0627 \u0628\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0643\u0644 \u0645\u0646 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0625\u0645\u0643\u0627\u0646 \u0627\u0644\u0623\u0639\u0638\u0645 \u0648\u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628\u060c \u0648\u0627\u0633\u062a\u062e\u062f\u0627\u0645\u0647\u0627 \u0641\u064a \u062f\u0631\u0627\u0633\u0629 \u0648\u0646\u0645\u0630\u062c\u0629 \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0648\u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0645\u0624\u0634\u0631 \u0627\u0644\u0639\u0627\u0645 \u0627\u0644\u0633\u0639\u0648\u062f\u064a\u060c \u0648\u0628\u063a\u0631\u0636 \u062a\u062d\u0642\u064a\u0642 \u0645\u0627 \u062a\u0633\u0639\u0649 \u0627\u0644\u064a\u0647 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0642\u0633\u0645\u062a \u0627\u0644\u0649 \u062b\u0644\u0627\u062b\u0629 \u0623\u062c\u0632\u0627\u0621 \u0627\u0644\u0623\u0648\u0644 \u062a\u0646\u0627\u0648\u0644 \u0627\u0644\u0627\u0637\u0627\u0631 \u0627\u0644\u0639\u0627\u0645 \u0644\u0644\u062f\u0631\u0627\u0633\u0629 \u0648\u064a\u0634\u0645\u0644 \u0645\u0646\u0647\u062c\u064a\u0629 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0648\u0627\u0644\u062f\u0631\u0627\u0633\u0627\u062a \u0627\u0644\u0633\u0627\u0628\u0642\u0629\u060c \u0648\u0627\u0644\u062b\u0627\u0646\u064a \u062a\u0646\u0627\u0648\u0644 \u0627\u0644\u0627\u0637\u0627\u0631 \u0627\u0644\u0646\u0638\u0631\u064a \u0644\u0644\u062f\u0631\u0627\u0633\u0629\u060c \u0648\u0627\u0644\u062b\u0627\u0644\u062b \u062a\u0646\u0627\u0648\u0644 \u0627\u0644\u062c\u0627\u0646\u0628 \u0627\u0644\u062a\u0637\u0628\u064a\u0642\u064a\u060c \u062b\u0645 \u0627\u0644\u0646\u062a\u0627\u0626\u062c \u0648\u0627\u0644\u062a\u0648\u0635\u064a\u0627\u062a.<\/p>\n

\u0627\u0644\u0625\u0637\u0627\u0631 \u0627\u0644\u0639\u0627\u0645 \u0644\u0644\u062f\u0631\u0627\u0633\u0629<\/strong><\/p>\n

\u0648\u0641\u064a \u0647\u0630\u0627 \u0627\u0644\u062c\u0632\u0621 \u062a\u062a\u0646\u0627\u0648\u0644 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0627\u0644\u0645\u0646\u0647\u062c\u064a\u0629 \u0648\u0627\u0644\u062f\u0631\u0627\u0633\u0627\u062a \u0627\u0644\u0633\u0627\u0628\u0642\u0629 \u0643\u0645\u0627 \u064a\u0644\u064a:<\/p>\n

\u0627\u0648\u0644\u0627: \u0645\u0646\u0647\u062c\u064a\u0629 \u0627\u0644\u062f\u0631\u0627\u0633\u0629<\/strong><\/p>\n

    \n
  1. \u0645\u0634\u0643\u0644\u0629 \u0627\u0644\u062f\u0631\u0627\u0633\u0629:<\/strong><\/li>\n<\/ol>\n

    \u062a\u062a\u0644\u062e\u0635 \u0645\u0634\u0643\u0644\u0629 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0641\u064a \u0627\u064a\u062c\u0627\u062f \u0646\u0645\u0648\u0630\u062c \u0642\u0627\u062f\u0631 \u0639\u0644\u0649 \u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u0642\u064a\u0645\u0629 \u0627\u0644\u0645\u0639\u0631\u0636\u0629 \u0644\u0644\u062e\u0637\u0631 \u0641\u064a \u0627\u0644\u0633\u0648\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629 \u0627\u0644\u0633\u0639\u0648\u062f\u064a\u0629\u060c \u0648\u0646\u0645\u0630\u062c\u0629 \u062a\u0644\u0643 \u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0645\u0646 \u062e\u0644\u0627\u0644 \u062a\u0642\u062f\u064a\u0631 \u0627\u0644\u0646\u0645\u0627\u0630\u062c \u0627\u0644\u0645\u0642\u062a\u0631\u062d\u0629 \u0628\u0627\u0633\u062a\u062e\u062f\u0627\u0645 \u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0628\u0648\u062a\u0633\u062a\u0631\u0627\u0628 \u0648\u0637\u0631\u064a\u0642\u0629 \u0627\u0644\u0627\u0645\u0643\u0627\u0646 \u0627\u0644\u0627\u0639\u0638\u0645 \u0648\u0627\u062c\u062a\u064a\u0627\u0632 \u0627\u0644\u0646\u0645\u0648\u0630\u062c \u0643\u0627\u0641\u0629 \u0627\u0644\u0627\u062e\u062a\u0628\u0627\u0631\u0627\u062a \u0627\u0644\u0645\u062e\u062a\u0644\u0641\u0629 (\u0627\u062e\u062a\u0628\u0627\u0631\u0627\u062a \u0627\u0644\u0645\u0641\u0627\u0636\u0644\u0629\u060c \u0627\u062e\u062a\u0628\u0627\u0631\u0627\u062a \u0627\u0644\u062a\u063a\u0637\u064a\u0629)\u060c \u0648\u062a\u062a\u0644\u062e\u0635 \u0645\u0634\u0643\u0644\u0629 \u0627\u0644\u062f\u0631\u0627\u0633\u0629 \u0628\u0627\u0644\u0625\u062c\u0627\u0628\u0629 \u0639\u0644\u0649 \u0627\u0644\u062a\u0633\u0627\u0624\u0644 \u0627\u0644\u062a\u0627\u0644\u064a:<\/p>\n

    \u0647\u0644 \u0646\u0645\u0627\u0630\u062c EGARCH\u060c GJR-GARCH\u060c \u063a\u064a\u0631 \u0627\u0644\u0645\u062a\u0645\u0627\u062b\u0644\u0629 \u0642\u0627\u062f\u0631\u0629 \u0639\u0644\u0649 \u0627\u0644\u062a\u0646\u0628\u0624 \u0628\u0627\u0644\u062a\u0642\u0644\u0628\u0627\u062a \u0627\u0644\u0645\u0627\u0644\u064a\u0629<\/strong><\/p>\n

    \u0644\u0639\u0648\u0627\u0626\u062f \u0627\u0644\u0645\u0624\u0634\u0631 \u0627\u0644\u0639\u0627\u0645 \u0644\u0628\u0648\u0631\u0635\u0629 \u0627\u0644\u0633\u0639\u0648\u062f\u064a\u0629 \u0644\u0644\u0623\u0648\u0631\u0627\u0642 \u0627\u0644\u0645\u0627\u0644\u064a\u0629\u061f<\/strong><\/p>\n

    \u0648\u062a\u062a\u0641\u0631\u0639 \u0645\u0646\u0647 \u0627\u0644\u062a\u0633\u0627\u0624\u0644\u0627\u062a \u0627\u0644\u0641\u0631\u0639\u064a\u0629 \u0627\u0644\u062a\u0627\u0644\u064a\u0629:<\/strong><\/p>\n