Modeling and Forecasting Saudi Stock Market Volatility Using Wavelet Methods

Tariq S. ALSHAMMARI,Mohd T. ISMAIL,Sadam AL-WADI,Mohammad H. SALEH,Jamil J. JABER 한국유통과학회 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.11

This empirical research aims to modeling and improving the forecasting accuracy of the volatility pattern by employing the Saudi Arabia stock market (Tadawul)by studying daily closed price index data from October 2011 to December 2019 with a number of observations being 2048. In order to achieve significant results, this study employs many mathematical functions which are non-linear spectral model Maximum overlapping Discrete Wavelet Transform (MODWT) based on the best localized function (Bl14), autoregressive integrated moving average (ARIMA) model and generalized autoregressive conditional heteroskedasticity (GARCH) models. Therefore, the major findings of this study show that all the previous events during the mentioned period of time will be explained and a new forecasting model will be suggested by combining the best MODWT function (Bl14 function) and the fitted GARCH model. Therefore, the results show that the ability of MODWT in decomposition the stock market data, highlighting the significant events which have the most highly volatile data and improving the forecasting accuracy will be showed based on some mathematical criteria such as Mean Absolute Percentage Error (MAPE), Mean Absolute Scaled Error (MASE), Root Means Squared Error (RMSE), Akaike information criterion. These results will be implemented using MATLAB software and R- software.

Outlier Detection Based on Discrete Wavelet Transform with Application to Saudi Stock Market Closed Price Series

RASHEDI, Khudhayr A.,ISMAIL, Mohd T.,WADI, S. Al,SERROUKH, Abdeslam Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.12

This study investigates the problem of outlier detection based on discrete wavelet transform in the context of time series data where the identification and treatment of outliers constitute an important component. An outlier is defined as a data point that deviates so much from the rest of observations within a data sample. In this work we focus on the application of the traditional method suggested by Tukey (1977) for detecting outliers in the closed price series of the Saudi Arabia stock market (Tadawul) between Oct. 2011 and Dec. 2019. The method is applied to the details obtained from the MODWT (Maximal-Overlap Discrete Wavelet Transform) of the original series. The result show that the suggested methodology was successful in detecting all of the outliers in the series. The findings of this study suggest that we can model and forecast the volatility of returns from the reconstructed series without outliers using GARCH models. The estimated GARCH volatility model was compared to other asymmetric GARCH models using standard forecast error metrics. It is found that the performance of the standard GARCH model were as good as that of the gjrGARCH model over the out-of-sample forecasts for returns among other GARCH specifications.

Influence of Varying Levels of Dietary Undegraded Intake Protein Intake on Nutrient Intake, Body Weight Change and Reproductive Parameters in Postpartum Awassi Ewes

Haddad, S.G.,Kridli, R.T.,Al-Wadi, D.M. Asian Australasian Association of Animal Productio 2005 Animal Bioscience Vol.18 No.5

The objective of this study was to evaluate the effect of dietary undegradable protein (UP) level on body weight change, nutrient intake, milk production and postpartum reproductive performance of Awassi ewes. Twenty-seven multiparous Awassi ewes (initial body weight = 53.3${\pm}$1.6 kg) were randomly assigned to three dietary treatments (9 ewes/treatment) for 62 days using a completely randomized design. Experimental diets were isonitrogenous (15.5% CP), isocaloric, and were formulated to contain 17.9 (LUP), 27.1 (MUP), and 34.0% (HUP) of the dietary CP as UP. On day 10${\pm}$3 (day 0 = parturition) ewes were housed in individual pens for 5 weeks. Feed offered and refused was recorded daily. At the end of this period, animals were removed from their pens and combined into 3 separate groups (LUP, MUP and HUP). One fertile, harnessed ram was allowed with each group for 34 days. Rams were rotated every 2 days among the three groups. Each group was offered the corresponding experimental diet. Organic matter, CP, UP and metabolizable energy intakes were higher (p<0.05) for ewes fed the HUP diet compared with ewes fed the LUP and MUP diets. Ewes fed the HUP diet gained more (p<0.05) weight compared with ewes fed the MUP diet (7.3 vs. 2.1 kg), while ewes fed the LUP diet lost an average of 2.1 kg. Pregnancy rate of ewes fed the HUP diet was 100%, compared with 66 and 33% for ewes fed the MUP and LUP diets, respectively. Lambing rate was greater (p<0.05) for ewes fed HUP (8/9) diet compared with ewes fed the MUP (4/9) and LUP (3/9) diets. These results indicate that Awassi ewes receiving adequate dietary UP level consume more feed and are capable of returning to estrus shortly after parturition and are capable of producing two lamb crops per year.

Partial Substitution of Copper with Nickel for the Superconducting Bismuth Compound and Its Effect on the Physical and Electrical Properties

Kareem Ali Jasim,Riyam Abd Al-Zahra Fadil,Kassim Mahdi Wadi,Auday Hattem Shaban 한국재료학회 2023 한국재료학회지 Vol.33 No.9

This study focuses on how the partial substitution of copper by nickel nanoparticles affects the electrical and structural properties of the Bi2Ba2Ca2Cu2.9Ni0.1O10+δ, Bi2Ba2Ca2Cu2.8Ni0.2O10+δ and Bi2Ba2Ca2Cu2.6Ni0.4O10+δ compounds. Approximate values of crystallization size and crystallization percentage for the three compounds were calculated using the Scherer, modified Scherer, and Williamson-Hall methods. A great similarity was observed in the crystal size values from the Scherer method, 243.442 nm, and the Williamson-Hall method, 243.794 nm for the second sample. At the same time this sample exhibited the highest crystal size value for the three methods. In the examination of electrical properties, the sample with 0.1 partial substitution, Bi2Ba2Ca2Cu2.9Ni0.1O10+δ was determined to be the best with a critical temperature of 100 K and an energy gap of 6.57639 × 10-21 MeV. Using the SEM technique to analyze the structural morphology of the three phases, it was discovered that the size of the granular forms exceeds 25 nm. It was determined that the samples’ shapes alter when nickel concentration rises. The patterns that reveal the distribution of the crystal structure also exhibit clear homogeneity.

Excitation and Formation Conditions of Monotonic Shock Waves in Magnetized Plasmas with Superthermality Distributed Electrons

E. F. El-Shamy,M. Mahmoud,E. S. Al-Wadie,A. Al-Mogeeth,E. K. El-Shewy 한국물리학회 2019 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.75 No.1

Nonlinear excitation and the properties of ion-acoustic shock waves (IASWs) in a magnetoplasma model composed of viscous ions with two-temperature superthermality distributed electrons are studied by employing the well-known reductive perturbation analysis to obtain a nonlinear Zakharov-Kuznetsov-Burgers equation (ZKBE), which admits the excitation of nonlinear IASWs in superthermal plasmas. Applying the tanh method, we discuss the solutions of the ZKBE. The asymptotic behavior and the stability of the analytical shock wave solution are studied. In general, nonlinear ion-acoustic disturbances are found analytically to exhibit only monotonic shock structures in the proposed model. For different situations, the effects of the dispersion and the dissipation coefficients on the profiles of the shock structures are discussed. The findings here demonstrate that the effective features of nonlinear IASWs depend strongly on the dispersion and the dissipation coefficients, which include physical parameters such as the superthermality of cold electrons, the cold superthermal electron-to-ion number density ratio, the ion kinematic viscosity and the ion cyclotron frequency. The current work may be helpful for an advanced comprehension of the physical nature of shock waves in astrophysical plasma situations.