[ Indice MASI: une tentative de modélisation par les modèles ARIMA et GARCH ]
Volume 7, Issue 4, August 2014, Pages 1560–1573
Moulay El Mehdi Falloul1 and Amal MANSOURI2
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
2 Ingénieur d'état en chef, Haut-Commissariat au Plan (HCP), Rabat, Maroc
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
In this article, we'll try to propose a modeling of the Moroccan stock market performance. To do this, the MASI, aggregate index representing Casablanca stock exchange, will be modeled from the method "ARIMA - BOX-JENKINS ', then by a GARCH model. This note is endeavoring to first present a brief overview of the theoretical framework of both models: ARIMA and ARCH, then an analysis of serial MASI, then searching of the ARIMA model most appropriate for the MASI(identification and validation of models to reproduce the series), and finally the choice of the most suitable GARCH model based on statistical criteria. The data available are 494 daily values of the evolution of the MASI, from 21/12/2009 to 18/12/2012. Software used are SPSS 17 and Eviews 6.
Author Keywords: Masi stock index, volatility, stationarity, ARIMA_BOX-JENKINS, GARCH model.
Volume 7, Issue 4, August 2014, Pages 1560–1573
Moulay El Mehdi Falloul1 and Amal MANSOURI2
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
2 Ingénieur d'état en chef, Haut-Commissariat au Plan (HCP), Rabat, Maroc
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
In this article, we'll try to propose a modeling of the Moroccan stock market performance. To do this, the MASI, aggregate index representing Casablanca stock exchange, will be modeled from the method "ARIMA - BOX-JENKINS ', then by a GARCH model. This note is endeavoring to first present a brief overview of the theoretical framework of both models: ARIMA and ARCH, then an analysis of serial MASI, then searching of the ARIMA model most appropriate for the MASI(identification and validation of models to reproduce the series), and finally the choice of the most suitable GARCH model based on statistical criteria. The data available are 494 daily values of the evolution of the MASI, from 21/12/2009 to 18/12/2012. Software used are SPSS 17 and Eviews 6.
Author Keywords: Masi stock index, volatility, stationarity, ARIMA_BOX-JENKINS, GARCH model.
Abstract: (french)
Dans cet article, on essaiera de proposer une modélisation de la performance du marché boursier Marocain. Pour ce faire, l'indice MASI, agrégat représentatif de la place Boursière Casablancaise, sera modélisé, à partir de la méthode « ARIMA - BOX-JENKINS », puis par un modèle GARCH. Cette note s'attèlera à présenter en premier lieu un bref rappel du cadre théorique des deux modèles : ARIMA et ARCH, puis une analyse de la série MASI , ensuite la recherche du modèle ARIMA le plus approprié au MASI (identification et validation des modèles susceptibles de reproduire la série) , et enfin le Choix du modèle GARCH le plus approprié sur la base de critères statistiques .Les données à disposition concernent 494 valeurs journalières de l'évolution du MASI, du 21/12/2009 au 18/12/2012. Les logiciels utilisés sont le SPSS 17 et l'Eviews 6.
Author Keywords: L'indice Masi, volatilité, stationnarité, ARIMA_BOX-JENKINS, modèle GARCH.
How to Cite this Article
Moulay El Mehdi Falloul and Amal MANSOURI, “MASI index: an attempt of modeling using ARIMA and GARCH models,” International Journal of Innovation and Applied Studies, vol. 7, no. 4, pp. 1560–1573, August 2014.
