摘要：The association between risk and return is a significant concept in finance that has been studied in
the past to a large extent. The stock market volatility is closely associated with the risk. The current
study examines the intraday volatility pattern of stock market of Saudi Arabia by reviewing the
stocks of Tadawul All Share Index (TASI). We obtain return data at 5-minute frequency from the
SASEIDX starting on 25 October 2017 and ending on 9 May 2018. We examine the stock market
volatility by using different symmetric and asymmetric GARCH models and observe that, the symmetric
GARCH models showed a significant positive association between risk and return. Similarly,
the asymmetric GARCH models show that the estimates were significant and the leverage
estimate was negative and significant, indicating a no-leverage effect in the return series. Moreover,
the asymmetric results suggest that negative shocks do not entail to future higher volatility than
positive shocks. Therefore, the symmetric and asymmetric GARCH models are comfortable to capture
the volatility of Saudi stock market from Intraday data.
关键词：TASI Risk and return GARCH model;
Intraday return volatility
