Forecasting of volatility risk for Jordanian banking sector

Jamil J. Jaber, Noriszura Ismail, S. Al Wadi, Mohammad H. Saleh

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In recent years, the instability and unpredictability of financial markets have played an essential part in risk management. Volatility risk is characterized as the standard deviation of the constantly compound return per day. This paper shows forecasting of volatility for the Jordanian banking sector after 2006 crisis. Parameters p, d, and q are estimated by ARIMA and ARIMA-WT. After that, several accuracy criteria are used to compare between these models for each bank that are incorporated at Amman stock exchange (ASE). Finally, points of volatility are estimated at 95% confidence interval for the future. In the results, we found ARIMA-WT has more accuracy than ARIMA. ARIMA-WT is more fitted for several reasons. First, RMSE for ARIMA-WT is less than ARIMA. Second, AIC and BIC are closer than zero.

Original languageEnglish
Pages (from-to)1491-1507
Number of pages17
JournalFar East Journal of Mathematical Sciences
Volume101
Issue number7
DOIs
Publication statusPublished - 1 Apr 2017

Fingerprint

ARIMA
Banking
Volatility
Forecasting
Sector
Risk Management
Financial Markets
Standard deviation
Confidence interval
Zero

Keywords

  • ARIMA
  • Market
  • Risk
  • Volatility

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Forecasting of volatility risk for Jordanian banking sector. / Jaber, Jamil J.; Ismail, Noriszura; Wadi, S. Al; Saleh, Mohammad H.

In: Far East Journal of Mathematical Sciences, Vol. 101, No. 7, 01.04.2017, p. 1491-1507.

Research output: Contribution to journalArticle

Jaber, Jamil J. ; Ismail, Noriszura ; Wadi, S. Al ; Saleh, Mohammad H. / Forecasting of volatility risk for Jordanian banking sector. In: Far East Journal of Mathematical Sciences. 2017 ; Vol. 101, No. 7. pp. 1491-1507.
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