Volatilities in Tunisian Stock Markets and MENA stock Markets: a perspective in the future?

• Autores: Rouhia Noomene, P. Muñoz
• Localización: XXX Congreso Nacional de Estadística e Investigación Operativa y de las IV Jornadas de Estadística Pública: actas, 2007, ISBN 978-84-690-7249-3
• Idioma: inglés
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• Resumen

  • The aim of this paper is to study two markets from Tunisia and Middle East in order to situate the place of the Tunisian Market compared to what is happening at present with the fluctuations and the instabilities lived by the indexes of Middle East Market and the Tunisian Market.

    The methodology proposed in our work is applied to series from the Tunisian Stocks and the MENA Stocks. Some published works about those two markets are based in the following methodologies: Multivariate GARCH Modelling, FIGARCH (Study Daily Volatility on Tunisian Stock Market (Abaoub, 2006), VAR Models D.Hemaid, 2006)) and others used a dynamic Garch approach applied to MENA Stock Market (Volatilities in Emerging MENA Stock Market (S.Naime, 2006)). In our work we applied Multivariate Stochastic volatility modelling with a new approach for parameter estimation based in FFBS algorithm to see the future tendencies of these two markets.