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

ρk =

γ k  k
=
γ0
 

 

γˆ k =

Σ (Yt − Y )(Yt + k − Y )
n -k

 n
 k
 γˆ 0 =

Σ(Yt − Y )2
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 

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

m
 ρˆ 2  2
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
k>1rk=0

rk=0p
k>p





p

ACF





k>1 ρk = 0
k>q ρk = 0 



q


AR (1)
AR (P)

MA (1)
MA (q)
ARMA (1, 1)

ARMA (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

(p + q + 1)ARIMA
p



 (Enders, 1995)
q, d,

(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

8.0

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

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.)
-5.017
-5.352
-6.373
-7.817

(Level)
-2.469
-2.302
-2.180
-2.206


lag4
lag3
lag2
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
∆ (LINDEX)

96

98

00

02


(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
(1.8)
0.81
(9.08)

0.006
(1.11)
0.67
(5.11)

0.005
(1.34)
0.35
(5.26)

-

-

-

0.63
(-5.26)
-0.13
(-2.26)

-0.399
(-2.43)







0.007
(1.81)
0.35
(5.09)
-0.10
(-1.50)

0.005
(1.19)
0.35
(5.34)

α
φ1

-

φ12

-

-

-

θ1

-

-0.08
(-1.10)

-

-

θ12

0.30594

0.312327

0.31333

0.292659

0.314893


SSR

-6.473
-6.409
19.91
(0.019)
30.43
(0.08)
37.75
(0.26)

-6.462
-6.414
15.26
(0.123)
29.03
(0.14)
36.02
(0.37)

-6.459
-6.412
14.81
(0.139)
26.75
(0.22)
33.43
(0.49)

-6.471
-6.421
14.77
(0.14)
26.43
(0.23)
34.12
(0.46)

-6.464
-6.432
14.16
(0.224)
25.95
(0.303)
32.62
(0.583)

 t
 SchwarzAkaikeSBCAIC
Ljung-BoxQ(n)
 

AIC/
SBC
Q(12)
Q(24)
Q(36)

-

‫ 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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 
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10, No. 2, 49-57.






‫ﻣﻠﺤﻖ ﺍﻟﺪﺭﺍﺳﺔ‬
(Lindex)PACFACF(1-)
Autocorrelation

Partial Correlation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

AC

PAC

Q-Stat

0.986
0.966
0.944
0.924
0.901
0.878
0.854
0.830
0.805
0.7780.7490.720
0.692
0.665
0.640
0.617
0.594
0.570
0.546
0.522
0.498
0.474
0.451
0.431
0.411
0.392
0.372
0.352
0.332
0.311
0.290
0.271
0.255
0.240
0.225
0.211

0.986
-0.182
-0.068
0.054
-0.082
-0.049
0.005
0.013
0.107
0.024
0.085
0.006
0.018
0.039
0.033
0.019
-0.033
-0.037
0.012
-0.036
-0.022
-0.018
0.026
0.033
-0.016
-0.012
-0.018
-0.011
-0.056
0.007
-0.029
0.048
0.068
-0.042
-0.007
0.047

204.99
402.97
593.02
775.72
950.54
1117.1
1275.5
1426.1
1568.3
1702.0
1826.4
1942.0
2049.2
2148.9
2241.7
2328.3
2408.9
2483.5
2552.5
2615.9
2673.9
2726.6
2774.7
2818.7
2859.1
2895.9
2929.3
2959.4
2986.2
3009.9
3030.7
3048.9
3065.2
3079.6
3092.3
3103.6

± 0.14 ≈ ( ±1.96 1 n )

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

(%5)

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

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

Partial Correlation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

AC

PAC

0.349
0.157
0.133
0.150
0.085
-0.005
-0.014
0.108
0.110
-0.012
0.075
-0.066
-0.145
-0.121
-0.148
-0.018
-0.008
-0.044
0.003
-0.013
-0.064
-0.127
-0.043
0.007
0.066
0.032
0.005
0.066
0.007
-0.020
-0.069
-0.093
-0.023
0.001
-0.043
-0.071

0.349
0.041
0.076
0.088
-0.004
-0.061
-0.017
0.124
0.048
-0.079
0.101
-0.169
-0.132
-0.020
-0.082
0.107
0.021
-0.016
0.016
-0.058
-0.018
-0.108
0.099
0.065
0.040
0.033
-0.100
0.021
-0.041
-0.008
-0.007
-0.089
0.058
-0.040
-0.071
-0.052

± 0.14 ≈ ( ±1.96 1 n )

Q-Stat
25.522
30.733
34.489
39.255
40.799
40.804
40.844
43.358
45.985
46.018
47.276
48.241
52.913
56.196
61.124
61.197
61.212
61.650
61.653
61.692
62.648
66.414
66.845
66.855
67.889
68.129
68.134
69.200
69.211
69.314
70.484
72.611
72.742
72.742
73.211
74.476

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

(%5)

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

(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
LINDEX

94

96
LINDEXF

98

00

02

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

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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