Volatility Of AMS Stock Market (Jordan), Through A

This paper focuses on the performance of various Garch models, were Arch model s not dismissed in term of their ability of delivering volatility forecasts for Amman stock market return data, in this paper a stationary Garch models were estimated, I have assess the performance of the maximum likelihood estimator, finally I have attempt to fit the dynamic of daily Amman stock return, by different models and BL approach, also has been used quantified the day –of – the week effect and the ( γ) leverage effect in order to test for asymmetric volatility. This paper attempt to investigate and modules the volatility of Amman stock market using daily observations as the day – of – a week return index for the period from January, 1996 through the period to June, 30, 2010, to achieve this purpose I have divided the period of study into two periods, then I have estimated the data by using Arch (1), Garch, E Garch, and the Go –Garch models are employed. Arch and Garch models are used to capture the symmetry effects, whereas the E-Garch are used to capturing the asymmetric effect. Results can be stated as: the E-Garch model is most fitted model to forecasting data of returns volatility between Garch (1,1) and Garch (1,2) as model performance is very small , according to BL approach Alpha of AMS portfolio and frontiers returns is (- 0.6342) , and the risk ratio is ( 0.5331)