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Box-Jenkins Method
ﺍﳌﺴﺘﺨﻠﺺ
20021985
(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]
1997)
(AlBatel, 1999)
(Al-Bassam and AlJuhani, 1997)
(Box-Jenkins)
Autoregressive Moving Average (ARMA)
p
(p = 1)
AR(1)
Yt (MA) Moving Average
Yt = α + θ1ζ t −1 + θ 2ζ t − 2 + + θ q ζ t − q (2)
qYt 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)
(Stationary) Yt
dd
ARIMAARMA
(Autoregressive Integrated Moving Average)
[3]
(q)(d)(p)
ARIMA (p, d, q)
ARIMA
(Meyler, 1998) (Ansari, 2001)
(Fkiring, 1991)
(Purohit, 1998)
–
(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)
(qp)
(ACF)
Partial Autocorrelation Function (PACF)
Yt-kYt
t-ktYYt-kYt
(Spikes)
(PACFACF)()
PACFACF
PACF ACF
k>1rk=0 AR (1)
rk=0p
AR (P)
k>p
MA (1)
k>1 ρk = 0
k>q ρk = 0 MA (q)
ARMA (1, 1)
ARMA (p, q)
p q
SBC = T ln (∑ e i2 ) + n ln(T )
nT
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
MAQ
ﺍﻟﻨﺘﺎﺋﺞ.٣
(Index)
20820021985
(1)
(Trend)
(2)(Lindex)1992
(1-)(Covariance Stationary)
(PACF)(ACF)
(0.986)
(Disturbance)
(ACF)±0.14(ACF)
Q
2500
2000
1500
1000
500
86 88 90 92 94 96 98 00 02
INDEX
7.6
7.2
6.8
6.4
86 88 90 92 94 96 98 00 02
LINDEX
(ADF)–
tt
(%5)
(%5)tt
(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)
0.349PACF
(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)
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)
ARIMA(1,1,1) (0,0,1)
(3)
AR(1)
( φ1 < 1)(Stability)
361241121 Q
AR(1)
θ12 φ12
(SBC)(AIC)
(SBC)(AIC)
Q
(%10)
Q
2412
(SBC)(AIC)
(AIC) (SBC)
(Enders, 1995)(AIC)(SBC)
(1985:03 - 2000:06)
(2000:07 - 2002:06)
(Forcast Error)
(0.002460.00247)
(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 -
SchwarzAkaikeSBCAIC -
Ljung-BoxQ(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
100-6181
(1989) ﻳﺴﻦ ﻋﺒـﺪﺍﻟﺮﲪﻦ ﻭﺁﺧـﺮﻭﻥ،ﺍﳉﻔﺮﻱ
73-5339
(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
1239786
(1993) ﺍﻟﺴﻴﺪ ﺇﺑﺮﺍﻫﻴﻢ،ﺍﻟﺪﺳﻮﻗﻲ
294-25515
(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
Dickey, D., Bell, W. and Miller, R., (1986) “Unit Roots in Time Series Models: Tests and
Implications”, American Statistician, 40, 12-26.
Enders, W., (1995) “Applied Econometric Time Series”, John Wiley and Sons Inc.
N. Y.
Fama, E., (1970) “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal
of Finance, 25, 383-417.
Fama, E., (1991) “Efficient Capital Market: II”, Journal of Finance, 46, 1575-1618.
Fkiring, M. and Al-Turki, I., (1991) “Forecasting Agricultural Economic Systems”, Cybernetics
and Systems: An International Journal, 22: 17-24.
Khababah, N., (1998) “Behavior of Stock Prices in teh Saudi Arabian Financial Market: Empirical
Research Finding”, Journal of Financial Management and Analysis, 11(1): 48-55.
Ljung, G. and Box, G., (1978) “On a Measure of Lack of Fit in Time Series Models”,
Biometrica. 65, 297-303.
Meyler, A, Kenny, G. and Quinn, T., (1998) “Forecasting Irish Inflation Using ARIMA
Models”, Central Bank of Ireland, Techincal Paper.
Mills, T., (1990) “Time Series Techniques for Econmists”, Cambridge Univ. Press. Cambridge.
Purohit, S, Kelkar, S. and Simha, V., (1998) “Time Series Analysis of Patients with Rotavirus
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.
ﻣﻠﺤﻖ ﺍﻟﺪﺭﺍﺳﺔ
(Lindex)PACFACF(1-)
PACFACF(2-)
(∆Lindex)
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
(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
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.