Intraday return volatility in Saudi Stock Market: An evidence from Tadawul All Share Index
Bibliographic record
Abstract
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.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".