Academy of Accounting and Financial Studies Journal (Print ISSN: 1096-3685; Online ISSN: 1528-2635)


Testing the Conditional Volatility of Saudi Arabia Stock Market: Symmetric and Asymmetric Autoregressive Conditional Heteroskedasticity (Garch) Approach

Author(s): Jumah Ahmad Alzyadat, Alaa Adden Abuhommous, Huthaifa Alqaralleh

The study aims to investigate the presence of conditional volatility in the Saudi Arabia stock market returns. The daily closing equity market price indices for Saudi stock exchange (Tadawul) covered the period Sep. 2017 to Sep. 2020. The sample was carefully chosen to present only the significant event affecting the stock market, specifically, the COVID-19 pandemic. The study applies the nonlinear GARCH-class models along with the best fitting distribution accounting for the skewness and excess kurtosis in return modeling. The estimation results reveal evidence of an inverted asymmetric effect during the calm time before COVID-19 pandemic. However, strong evidence of news effect was detected as the health crisis began.

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