Journal of Contemporary Business and Economic Studies Vol.(5) No.

(1) (2022)

MSCI
The role of uncertainty modeling in determining the volatility of financial Asset
returns - An Econometric Study of the MSCI index in a emerging markets for
The Period of (June 2015/2019)
2 1

1
stoumi79@yahoo.fr
2
chaimafinance@yahoo.com
2222 21 20 2221 11 12 2221 20 22

MSCI
ARCH

ARCH
Abstract:

This study aims to analyze the role of the quantitative side in determining the
financial returns valuations in the stock exchange, so as to explain the problem of volatility
in the prices of financial assets. The study examined a number of emerging stock markets
using MSCI index data, based on the ARCH model. Due to the nature of the study, we
relied on the descriptive approach, the inductive approach and the statistical approach. The
study concluded that there is a possibility to estimate the volatility levels within a field that
does not exceed the uncertainty modeling in the short term horizon, hence the maximum
deviations that can be expected in the periods of stability, with sensebility to information
flow in the short term in emerging stock markets.
Keywords: The Financial Valuation; Volatility in Financial Returns; Uncertainty
Modeling ;ARCH Model.


 




MSCI
 
"Les Fondamentalistes"
 

P.Artus, 1995,p.5

Markowitz 
Joubun Markowitz

Wiliams

Markowitz

Markowitz
(ph.Herlin, 2010.p.36

I. Julien,

2011,p.2

Markowitz 
Markowitz Harry
 Markowitz

Markowitz

Markowitz 
Markowitz

Markowitz

Ph. Bernard, 2007.p.2

Markowitz

Source : (Ph. Bernard, 2007.p.2)

∑ ∑
 ͂ ͂
)i = 1 ,……,I) I

Wi

w Ui

Markowitz

،"Bliss point

Sharpe 
MEDAF Sharpe William

ph . Herlin, 2010.p.43

Rf Sharpe

bêta β Jensen Ri
 β


σ 

βk βi ،)m ‫ عن مقدار االنحراف المعياري في القيم (األصلين االستثماريين أو السوق‬σ
Ri Rk
MEDAF

O. Boufama, 2010,pp.4-5

GARCH-ARCH 

F. Engele Ropert MEDAF

GARCH

ph.Herlin,

2010.p.65

MSCI

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‫ انتحهيم انوصفي نسالسم يتغيراث اندراست نعينت ين انبورصبث اننبشئت ببستخداو يعطيبث‬.1.2
MSCI ‫يؤشر‬

t i MSCI Ii,t

‫؛‬t -1 i Ii,t-1

t i R i,t
‫ تغيراث انعوائد انًبنيت في عينت ين انبورصبث اننبشئت‬:)03( ‫انشكم رقى‬
)2012-2015( ‫خالل انفترة‬
Log Dif f erenced BRA Log Dif f erenc ed CHI
.3 .16

.12
.2
.08

.1 .04

.00
.0 -.04

-.08
-.1
-.12

-.2 -.16
I II III IV I II III IV I II III IV I II III IV I II III I II III IV I II III IV I II III IV I II III IV I II III
2015 2016 2017 2018 2019 2015 2016 2017 2018 2019

Log Dif f erenc ed IND Log Dif f erenced MA L

.15 .15

.10
.10
.05
.05 .00

.00 -.05

-.10
-.05
-.15

-.10 -.20
I II III IV I II III IV I II III IV I II III IV I II III I II III IV I II III IV I II III IV I II III IV I II III
2015 2016 2017 2018 2019 2015 2016 2017 2018 2019

Log Dif f erenced SA F

.20

.15

.10

.05

.00

-.05

-.10

-.15
I II III IV I II III IV I II III IV I II III IV I II III
2015 2016 2017 2018 2019

.Eviews 9
 

unit root)

Dickey-Fuller Augmented

xt ADF Test

∑
∑
∑
ε α
∑ ‫و‬

t  ∑
White Noise

=0: H0 

t t

α < 0: H1 

t t

…d I

I)d(

Phillips-Perron ADF Test

ADF PP
 Phillips-Perron

pp ADF Test

correlogram

Lag  1,….6


0


Box – pierce Q

Box - Ljung

t
Phillips-Perron Augmented Dickey-Fuller Q

-3.498692 BRA
-3.502373 CHI
-3.498692 IND
-3.498692 MAL
-3.498692 SAF

.Eviews 9

BDS

Scheinkman Brock and Dechert

BCS
.Eviews 9

Jarque- Bera

Gauss
Jarque- Bera

S K

α JB 

Jarque- Bera

JB (2)

ARCH

Jarque- Bera

.Eviews 9
ARCH

ARCH

Granger & Anderson

Box & Jenkins

 O.Brossard, 1998, pp. 9-10

ARCH

ARCH

ARCH

ARCH

t2 F

ARCH

ARCH
 .Eviews 9
ARCH ARCH
 ARCH

.Eviews 9
ARCH

ARCH
 ARCH

ARCH
8 5

7
4
6

5 3
Density
Density

4
2
3

2
1
1

0 0
-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 -2.8 -2.4 -2.0 -1.6 -1.2 -0.8 -0.4 0.0 0.4 0.8 1.2 1.6 2.0 2.4

CHI Kernel ARCHCHI Kernel BRA Kernel ARCHBRA Kernel

9
12
8
10
7

8 6

5
Density
Density

6
4

4 3

2
2
1

0 0
-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0

MAL Kernel ARCHMAL Kernel IND Kernel ARCHIND Kernel

 6

Density
3

0
-2.0 -1.6 -1.2 -0.8 -0.4 0.0 0.4 0.8 1.2 1.6 2.0

SAF Kernel ARCHSAF Kernel

.Eviews 9

Sensibilité

ARCH /GARCH
 

.
GARCH
 .

11. I. Julien, (2011), « Les modèles fractals en finance », Service de Recherche en

économie financière, Direction générale des Études et des Relations internationales,
France.

12. Indices Mondiaux. Invisting.com. Récupéré sur https://fr.investing.com/indices/major-

indices, 07 -14-2019.

13. O. Boufama, (2010), « La Méthodologie d’étude d’événements : Une technique au

service des Marchés Financiers et Marchés monétaires », colloque International, les
politiques monétaires et Institution Financiers, Faculté Des Sciences Economiques,
skikda, Algerie.
14. O . Brossard, (1998), « instabilité financière selon Minsky incertitude et la liquidité
au fondement du cycle », Volume 49, n°2.
15. P .Artus, (1995), « Anomalies sur les Marchés Financiers » ,éd. Economica, Paris,
France.

16. Ph. Bernard, (2007), « Le Modèle d’Equilibres des Actifs Financiers (MEDAF) »,
Université Paris – Dauphine, France. Consulté le 03 14, 2018, sur
www.master272.com/finance/capm/medaf.pdf.:

17. ph.Herlin, (2010), « Finance; le Nouveau paradigme », Ed: d´Organisation, France.

SAF MAL IND CHI BRA