Volatility Of AMS Stock Market (Jordan), Through A Comparable models And Approaches (1996 – 2010)

Abstract

This paper focuses on the performance of various Garch models, were Arch model s 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 , also has been used quantified the day –of – the week effect and the ( ? ) leverage effect in order to test for asymmetric volatility.   This paper attempt to investigate and modules the volatility of Amman stock market using daily observations as the day – of – a week return index  for the period from January , 1996  through the period to  June , 30 ,  2010 , 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 and Garch models are used to capture the symmetry effects, whereas the 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 ( - 0.6342 ) , and the risk ratio is ( 0.5331 ) .

Key words: Garch, Volatility, leverage effects, Amman stock market   ( AMS ), BL approach,

Jell classifications: C55 , C8 , 016 , P27 , R15 .