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Mhamed Eddahbi

Professor

Faculty

كلية العلوم
Department of Mathematics, College of Sciences, King Saud University, Building 4, second floor, Office Nu. 2B65, PO. Box 2455 Riyadh, Z.C. 11451
المنشورات
مقال فى مجلة
2024
تم النشر فى:

Number of Volatility Regimes in the Muscat Securities Market Index in Oman Using Markov-Switching GARCH Models

The predominant approach for studying volatility is through various GARCH specifications, which are widely utilized in model-based analyses. This study focuses on assessing the predictive performance of specific GARCH models, particularly the Markov-Switching GARCH (MS-GARCH). The primary objective is to determine the optimal number of regimes within the MS-GARCH framework that effectively captures the conditional variance of the Muscat Securities Market Index (MSMI). To achieve this, we employ the Akaike Information Criterion (AIC) to compare different MS-GARCH models, estimated via Maximum Likelihood Estimation (MLE). Our findings indicate that the chosen models consistently exhibit at least two regimes across various GARCH specifications. Furthermore, a validation using the Value at Risk (VaR) confirms the accuracy of volatility forecasts generated by the selected models

نوع عمل المنشور
Article
اسم الناشر
Symmetry
مدينة النشر
Switzerland
رقم المجلد
16
رقم الانشاء
5, 569
الصفحات
1-13
مزيد من المنشورات
publications

We focus on solving stochastic differential equations driven by jump processes (SDEJs) with measurable drifts that may exhibit quadratic growth. Our approach leverages

بواسطة M. Eddahbi
2025
تم النشر فى:
Axioms
publications

In this short note we provide an additional term that was missing in the proof of Theorem 5.1 in section 5 (Comparison and strict comparison theorems) of our previous paper entitled: Quadratic…

بواسطة I. Madoui, M. Eddahbi, and N. Khelfallah
2025
تم النشر فى:
Stochastics
publications

In this article, we introduce a new stochastic process called the sub-fractional G-Brownian motion, which serves as an intermediate between the G-Brownian motion and the fractional G-Brownian…

بواسطة O. Kebiri, Z. Boumezbeur, M. Eddahbi, and H. Boutabia
2025
تم النشر فى:
Hacettepe Journal of Mathematics and Statistics