期刊名称：International Journal of Mathematics and Mathematical Sciences
印刷版ISSN：0161-1712
电子版ISSN：1687-0425
出版年度：2017
卷号：2017
DOI：10.1155/2017/1749106
出版社：Hindawi Publishing Corporation
摘要：Recently, the volatility of financial markets has contributed a necessary part to risk management. Volatility risk is characterized as the standard deviation of the constantly compound return per day. This paper presents forecasting of volatility for the Jordanian industry sector after the crisis in 2009. ARIMA and ARIMA-Wavelet Transform (WT) have been conducted in order to select the best forecasting model in the content of industry stock market data collected from Amman Stock Exchange (ASE). As a result, the researcher found that ARIMA-WT has more accuracy than ARIMA directly. The results have been introduced using MATLAB 2010a and R programming.
