٢‫ﻉ‬،١٧‫ﻡ‬






 
Box-Jenkins Method

‫ﲪﺪ ﺑﻦ ﻋﺒﺪﺍﷲ ﺍﻟﻐﻨﺎﻡ‬

 
 
 ––


‫ﺍﳌﺴﺘﺨﻠﺺ‬
20021985


(ADF)–
(ACF)


(Box - Jenkins)
(Akaike)
(Schwarz)


 


  

‫ ﻣﻘﺪﻣﺔ‬.١



 






 









 



 

(Turnover 
 (Al-Bqami-2000)Ratio)

(Butler, etal, 1992)
(Abraham and Alsakran, 2002)(Khababah, 1998)





(Official Market Makers)
(Al-Bqami, 2000)
(Index)


 [1]




 




 
  

(Fama, 1970 & 1991)

(Weak-Form Efficiency)
(Semistrong-Form Efficiency)
(Strong-Form Efficiency)
 
[2]
(Box-Jenkins)
(Random Walk)
(Seiler and Rom, 

 1997)





(AlBatel, 1999)

 
 (Al-Bassam and AlJuhani, 1997)






 Campbell, etal, 19972002

 


 


(Box-Jenkins)
Autoregressive Moving Average (ARMA)



 

‫ ﺍﻹﻃﺎﺭ ﺍﻟﻨﻈﺮﻱ ﺍﻟﻘﻴﺎﺳﻲ‬.٢

 
 
 Autoregressive Moving Average Model(ARMA)
(Box - Jenkins, 1976)
Yt(AR) Autoregressive Process
Yt-i
Yt = α + φ1 Yt −1 + φ 2 Yt − 2 +  + φ p Yt − p (1)

p
(p = 1)
AR(1)
Yt (MA) Moving Average
 
Yt = α + θ1ζ t −1 + θ 2ζ t − 2 +  + θ q ζ t − q (2)
  

qYt ζ 
q 
 MA(q)
 MA(q)AR(p)ARMA
Yt = α + φ1Yt −1 + φ 2 Yt − 2 +  + φ p Yt − p + ζ t + θ1ζ t −1 + θ2ζ t − 2 +  + θq ζ t − q (3)

 θ i  φi 

ARMA
(q)(p)
 
ARMA (p, q)

(Stationary) Yt


dd
ARIMAARMA
(Autoregressive Integrated Moving Average)
[3]
(q)(d)(p)
 
ARIMA (p, d, q)

ARIMA
(Meyler, 1998) (Ansari, 2001) 

(Fkiring, 1991)
 (Purohit, 1998)

 ARIMA (2,1,1) 

 ∆ Y t = θ 1 ∆ Y t − 1 + θ 2 ∆ Y t − 2 + ζ t + φζ t − 1
 

–

 
(Identification) ‫ ﺍﻟﺘﻌﺮﻳﻒ‬-‫ﺃ‬
 
 ARIMA (P, d, q)
(d)
(Trend)
(d)
–
(Dickey, (Augmented Dickey-Fuller)(Dickey-Fuller)

 1986,1981,1979)
Autocorrelation Function (ACF) 
k

γ k  k
ρk = =
γ0  
 

 Σ (Yt − Y )(Yt + k − Y )
γ̂ k =
n -k

 n
 k
Σ(Yt − Y )2
 γ̂ 0 =
n -1
  

(Correlogram) ρk 
 
( +1 ≥ ρk ≥ −1 )
 ρk 
(k > 0)
ACF(%95)

Bartlett, 1/n 

 (%5)1946

 ± 1.96 1 / n

  ρ k 

 H 0 : ρk = 0
 

 H 1 : ρk ≠ 0

 (Box - Pierce, 1970)Q
m
 Q = n∑ ρˆk2
k=1

 m
(m) χ 2 Q
 χ 2 Q
 
(Ljung - Box, 1978)
  Box–Ljung 
 

 ρˆ 2  2

m
LB = n(n + 2)∑  k  ~ χ (m)
k =1  n − k 


 (d)
(q)(p)
(qp)

 (ACF)
Partial Autocorrelation Function (PACF)
Yt-kYt
 t-ktYYt-kYt

(Spikes)

(PACFACF)()
 
 
PACFACF
PACF ACF 
k>1rk=0  AR (1)
rk=0p 
AR (P)
k>p 
 
MA (1)
k>1 ρk = 0
 k>q ρk = 0  MA (q)
 
ARMA (1, 1)
 
 
ARMA (p, q)
p q
  

 (Mills, 1990)(Enders, 1995)PACFACFrP

(SBC)(Schwarz)(AIC)(Akaike)
(Mills, 1990)(SBC)(AIC)
(SBC)(AIC)
AIC = T ln (∑ ei2 ) + 2n

SBC = T ln (∑ e i2 ) + n ln(T )

nT
ACF(Schwarz, 1978)(Akaike, 1974)e
k ≤ q ρk MA(q)
PACF AR(p)PACF
 p
(Estimation) ‫ ﺗﻘﺪﻳﺮ ﺍﻟﻨﻤﻮﺫﺝ‬-‫ﺏ‬
q, d, (p + q + 1)ARIMA
p



 (Enders, 1995)
(Diagnostic Cheking) ‫ ﺍﻟﻔﺤﺺ ﺍﻟﺘﺸﺨﻴﺼﻲ‬-‫ﺟـ‬


 (White Noise)


(%95)
 

Q

F
(The Sum of The Squared Forecast Errors)

 (Enders, 1995)
(Forecasting) ‫ ﺍﻟﺘﻨﺒﺆ‬-‫ﺩ‬
(p, d, q)
(Yt)
(Yt+1)
(Yt+2)(One period ahead forecasting)
(Yt+1)

 q MA

 
 (Seasonality)
… 
 
 
12, 24, 36, …(PACF)(ACF)
1, 2, 3, 4, …4, 8, 12, …

MA(12)AR(12)

  

]4]
 
ARIMA (p, d, q) (P, D, Q)
 
 AR P
 D
 MAQ

‫ ﺍﻟﻨﺘﺎﺋﺞ‬.٣
(Index)

20820021985
 
(1)
(Trend)
(2)(Lindex)1992
(1-)(Covariance Stationary) 
(PACF)(ACF)
(0.986)

(Disturbance)


(ACF)±0.14(ACF)
 Q

 Enders, 1995 

 

Index ‫ ﺍﻟﺴﻠﺴﻠﺔ ﺍﻷﺼﻠﻴﺔ ﻟﻠﻤﺅﺸﺭ ﺍﻟﻌﺎﻡ ﻷﺴﻌﺎﺭ ﺍﻷﺴﻬﻡ‬:(1) ‫ﺸﻜل‬

3000

2500

2000

1500

1000

500
86 88 90 92 94 96 98 00 02

INDEX

Lindex ‫ ﻟﻭ ﻏﺎﺭﻴﺘﻡ ﺍﻟﺴﻠﺴﻠﺔ ﺍﻷﺼﻠﻴﺔ ﻟﻠﻤﺅﺸﺭ ﺍﻟﻌﺎﻡ ﻷﺴﻌﺎﺭ ﺍﻷﺴﻬﻡ‬:(2) ‫ﺸﻜل‬

8.0

7.6

7.2

6.8

6.4
86 88 90 92 94 96 98 00 02

LINDEX



  

(ADF)–
tt
(%5)
(%5)tt
(3) 
 
 Lindex ~ I(1)
 (

(1st diff.) (Level) 
-5.017 -2.469 lag4
-5.352 -2.302 lag3
-6.373 -2.180 lag2
-7.817 -2.206 lag1
 (%5)-3.433
(%1)-4.006
∆(Lindex) ‫ ﺍﻟﻔﺭﻕ ﺍﻷﻭل ﻟﻠﻭﻏﺎﺭﻴﺘﻡ ﺍﻟﻤﺅﺸﺭ ﺍﻟﻌﺎﻡ ﻷﺴﻌﺎﺭ ﺍﻷﺴﻬﻡ‬:(3) ‫ ﺸﻜل‬
0.15 

0.10 

0.05

0.00


-0.05 

-0.10

-0.15
86 88 90 92 94 96 98 00 02

∆ (LINDEX)
 

(2-)(PACF)(ACF)

0.349PACF
(ACF)AR(1)0.04
AR(1)
 (PACF)
(ACF)
 
ARIMA(1,1,0) (0,0,0)

∆Lindex t = α + φ 1 ∆Lindex t −1 + ζ t

ARIMA(1,1,0) (1,0,0)

∆Lindex t = α + φ 1 ∆Lindex t −1 + φ12 ∆Lindex t -12 + ζ t

 ARIMA(1,1,0) (0,0,1)
∆Lindex t = α + φ 1 ∆Lindex t −1 + θ12 ζ t −12 + ζ t

 ARIMA(1,1,1) (0,0,0)

∆Lindex t = α + φ 1 ∆Lindex t −1 + ζ t + θ1ζ t −1

 ARIMA(1,1,1) (0,0,1)

∆Lindex t = α + φ 1 ∆Lindex t −1 + ζ t + θ1ζ t −1 + θ12 ζ t −12

 (3)
AR(1)
( φ1 < 1)(Stability)
361241121 Q
 AR(1)
  


  θ12  φ12

(SBC)(AIC)
(SBC)(AIC)
Q
 (%10)

Q
 2412
(SBC)(AIC)
(AIC) (SBC)
 (Enders, 1995)(AIC)(SBC)


(1985:03 - 2000:06)
(2000:07 - 2002:06)
(Forcast Error)
(0.002460.00247)


(Enders, 1995)
(Arerage Trend)
(1-),
(Lindexf)(Lindex)
 


 
 

 
   
 
0.007 0.006 0.005 0.007 0.005 α
(1.8) (1.11) (1.34) (1.81) (1.19)
0.81
(9.08)
0.67
(5.11)
0.35
(5.26)
0.35
(5.09)
0.35
(5.34)
φ1
- - -
-0.10
(-1.50)
- φ12
0.63
(-5.26)
-0.399
(-2.43)
- - - θ1
-0.13
(-2.26)
-
-0.08
(-1.10)
- - θ12

0.30594 0.312327 0.31333 0.292659 0.314893
SSR
-6.473 -6.462 -6.459 -6.471 -6.464 AIC/
-6.409 -6.414 -6.412 -6.421 -6.432 SBC
19.91 15.26 14.81 14.77 14.16 Q(12)
(0.019) (0.123) (0.139) (0.14) (0.224)
30.43 29.03 26.75 26.43 25.95 Q(24)
(0.08) (0.14) (0.22) (0.23) (0.303)
37.75 36.02 33.43 34.12 32.62 Q(36)
(0.26) (0.37) (0.49) (0.46) (0.583)
 t -
 SchwarzAkaikeSBCAIC -
Ljung-BoxQ(n) -
 
‫ ﺍﳋﺎﲤﺔ‬.٤


1985:03
 2002:06


  

–
 (Schwarz)(Akaike)









 

‫ﺍﳌﺮﺍﺟﻊ‬
‫ ﺍﳌﺮﺍﺟﻊ ﺑﺎﻟﻠﻐﺔ ﺍﻟﻌﺮﺑﻴﺔ‬: ‫ﺃﻭﻻﹰ‬
(26)(1998)‫ ﲪﺪ‬،‫ﺍﻟﺒﺎﺯﻋﻲ‬
 106-91(2)
(1999)‫ ﲪﺪ‬،‫ﺍﻟﺒﺎﺯﻋﻲ‬
 33-1(1)11
(1996)‫ ﺳﻠﻴﻤﺎﻥ‬،‫ﺍﻟﺘﺮﻛﻲ‬
 100-6181
 (1989)‫ ﻳﺴﻦ ﻋﺒـﺪﺍﻟﺮﲪﻦ ﻭﺁﺧـﺮﻭﻥ‬،‫ﺍﳉﻔﺮﻱ‬
 73-5339
(1996)‫ ﺍﻟﺴﻴﺪ ﺇﺑﺮﺍﻫﻴﻢ‬،‫ ﳏﻤﺪ ﻛﻤﺎﻝ ﺍﻟﺪﻳﻦ ﺃﲪﺪ ﻭﺍﻟﺪﺳﻮﻗﻲ‬،‫ﺣﺴﻦ‬
 446-419(2)8
  (1417) ‫ ﻋﺒﺪﺍﻟﺮﲪﻦ‬،‫ ﻋﺒﺪﺍﻟﺮﲪﻦ ﻭﺍﳋﻠﻒ‬،‫ﺍﳊﻤﻴﺪﻱ‬
 
 (2002)‫ ﳏﻤﺪ ﺻﺎﱀ ﻭﺁﺧﺮﻭﻥ‬،‫ﺍﳊﻨﺎﻭﻱ‬
 

(1997)‫ ﺧﺎﻟﺪ‬،‫ﺍﻟﺪﺧﻴﻞ‬
 1239786
(1993)‫ ﺍﻟﺴﻴﺪ ﺇﺑﺮﺍﻫﻴﻢ‬،‫ﺍﻟﺪﺳﻮﻗﻲ‬
 294-25515
(1993)‫ ﺍﻟﺴﻴﺪ ﺍﳌﺘﻮﱄ‬،‫ ﻧﺎﺻﺮ ﳏﻤﺪ ﻭﺣﺴﻦ‬،‫ﺍﻟﺼﺎﺋﻎ‬
 
(1993)‫ ﻋﺒﺪﺍﻟﻘﺎﺩﺭ ﳏﻤﺪ ﺃﲪﺪ‬،‫ﻋﺒﺪﺍﷲ‬
 89-71
(1991)‫ ﻋﻠﻲ ﺯﺍﻭﻱ‬،‫ ﺍﻟﺴﻌﻴﺪ ﳏﻤﺪ ﻭﺩﻳﺎﰊ‬،‫ﻟﺒﺪﻩ‬
 
 (2001) ‫ﻣﺆﺳﺴﺔ ﺍﻟﻨﻘﺪ ﺍﻟﻌﺮﰊ ﺍﻟﺴﻌﻮﺩﻱ‬
(1989)‫ ﻓﺎﺿﻞ ﺣﺴﻮﻥ‬،‫ﻣﻬﺪﻱ‬


‫ ﺍﳌﺮﺍﺟﻊ ﺑﺎﻟﻠﻐﺔ ﺍﻹﳒﻠﻴﺰﻳﺔ‬: ‫ﺎ‬‫ﺛﺎﻧﻴ‬

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Diarrhoea in Pune, India”, J. Diarrhoeal Disease Research Bangladesh. Jun: 16 (2): 74-83.
Schwarz, G., (1978) “Estimating the Dimension of a Model”, Annals of Statistics, 6, 461-464.
Seiler, M. and Rom. W., (1997) “A Historical Analysis of Market Efficiency: Do Historical
Returns Follow A Randdom Walk? ”, Journal of Financial and Strategic Decisions; Vol.
10, No. 2, 49-57.
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

‫ﻣﻠﺤﻖ ﺍﻟﺪﺭﺍﺳﺔ‬
(Lindex)PACFACF(1-)

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.986 0.986 204.99 0.000

2 0.966 -0.182 402.97 0.000
3 0.944 -0.068 593.02 0.000
4 0.924 0.054 775.72 0.000
5 0.901 -0.082 950.54 0.000
6 0.878 -0.049 1117.1 0.000
7 0.854 0.005 1275.5 0.000
8 0.830 0.013 1426.1 0.000
9 0.805 0.107 1568.3 0.000
10 0.778- 0.024 1702.0 0.000
11 0.749- 0.085 1826.4 0.000
12 0.720 0.006 1942.0 0.000
13 0.692 0.018 2049.2 0.000
14 0.665 0.039 2148.9 0.000
15 0.640 0.033 2241.7 0.000
16 0.617 0.019 2328.3 0.000
17 0.594 -0.033 2408.9 0.000
18 0.570 -0.037 2483.5 0.000
19 0.546 0.012 2552.5 0.000
20 0.522 -0.036 2615.9 0.000
21 0.498 -0.022 2673.9 0.000
22 0.474 -0.018 2726.6 0.000
23 0.451 0.026 2774.7 0.000
24 0.431 0.033 2818.7 0.000
25 0.411 -0.016 2859.1 0.000
26 0.392 -0.012 2895.9 0.000
27 0.372 -0.018 2929.3 0.000
28 0.352 -0.011 2959.4 0.000
29 0.332 -0.056 2986.2 0.000
30 0.311 0.007 3009.9 0.000
31 0.290 -0.029 3030.7 0.000
32 0.271 0.048 3048.9 0.000
33 0.255 0.068 3065.2 0.000
34 0.240 -0.042 3079.6 0.000
35 0.225 -0.007 3092.3 0.000
36 0.211 0.047 3103.6 0.000

 ± 0.14 ≈ ( ±1.96 1 n ) (%5)

  

PACFACF(2-)
 (∆Lindex)
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.349 0.349 25.522 0.000

2 0.157 0.041 30.733 0.000
3 0.133 0.076 34.489 0.000
4 0.150 0.088 39.255 0.000
5 0.085 -0.004 40.799 0.000
6 -0.005 -0.061 40.804 0.000
7 -0.014 -0.017 40.844 0.000
8 0.108 0.124 43.358 0.000
9 0.110 0.048 45.985 0.000
10 -0.012 -0.079 46.018 0.000
11 0.075 0.101 47.276 0.000
12 -0.066 -0.169 48.241 0.000
13 -0.145 -0.132 52.913 0.000
14 -0.121 -0.020 56.196 0.000
15 -0.148 -0.082 61.124 0.000
16 -0.018 0.107 61.197 0.000
17 -0.008 0.021 61.212 0.000
18 -0.044 -0.016 61.650 0.000
19 0.003 0.016 61.653 0.000
20 -0.013 -0.058 61.692 0.000
21 -0.064 -0.018 62.648 0.000
22 -0.127 -0.108 66.414 0.000
23 -0.043 0.099 66.845 0.000
24 0.007 0.065 66.855 0.000
25 0.066 0.040 67.889 0.000
26 0.032 0.033 68.129 0.000
27 0.005 -0.100 68.134 0.000
28 0.066 0.021 69.200 0.000
29 0.007 -0.041 69.211 0.000
30 -0.020 -0.008 69.314 0.000
31 -0.069 -0.007 70.484 0.000
32 -0.093 -0.089 72.611 0.000
33 -0.023 0.058 72.742 0.000
34 0.001 -0.040 72.742 0.000
35 -0.043 -0.071 73.211 0.000
36 -0.071 -0.052 74.476 0.000

 ± 0.14 ≈ ( ±1.96 1 n ) (%5)



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(lindexf) ‫( ﻭﻗﻴﻤﻬﺎ ﺍﻟﻤﺘﻭﻗﻌﺔ‬Lindex) ‫ ﻟﻭﻏﺎﺭﻴﺘﻡ ﺍﻟﺴﻠﺴﻠﺔ ﺍﻷﺼﻠﻴﺔ‬:(1-‫ﺸﻜل )ﻡ‬
8.5

8.0

7.5

7.0

6.5

6.0
86 88 90 92 94 96 98 00 02

LINDEX LINDEXF
  

Time Series Analysis of Saudi Arabian Stock Market Index:

(Box–Jenkins Method)

HAMAD A. AL-GHANNAM
Assistant Profesor
Department of Economics
College of Administrative Sciences
King Saud University, Riyadh, Saudi Arabia

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.
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