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Document Details
Document Type
:
Article In Journal
Document Title
:
Time Series Analysis of Saudi Arabian Stock Market Index:(Box–Jenkins Method)
تحليل السلسلة الزمنية لمؤشر أسعار الأسهم في المملكة العربية السعودية: باستخدام منهجية بوكس جينكينز
Subject
:
Economics
Document Language
:
Arabic
Abstract
:
This paper investigates the time series of the Saudi Arabian stock market index, in order to build a model for forecasting in short run. It uses monthely data covering the period from March 1985 to June 2002. The Box – Jenkins methodology or what it is somes times called autoregressive moving average model. According to different methodes and tests, the autoregressive model of degree one is the best model fitting the data. The seasonal pattern of the series has little effects on the model.
ISSN
:
1319-0997
Journal Name
:
Economics and Administration Journal
Volume
:
17
Issue Number
:
2
Publishing Year
:
1424 AH
2003 AD
Article Type
:
Article
Added Date
:
Sunday, October 11, 2009
Researchers
Researcher Name (Arabic)
Researcher Name (English)
Researcher Type
Dr Grade
Email
حمد عبدالله الغنام
HAMAD A. AL-GHANNAM
Researcher
Files
File Name
Type
Description
21823.pdf
pdf
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