Keywords and phrases: TASI, geometric Brownian motion, long memory, stochastic volatility.
Received: December 28, 2021; Accepted: February 4, 2022; Published: February 14, 2022
How to cite this article: Anas Abbas and Mohammed Alhagyan, The effect of incorporating memory and stochastic volatility into geometric Brownian motion in forecasting the performance of Tadawul All Share Index (TASI), Advances and Applications in Statistics 74 (2022), 47-62. DOI: 10.17654/0972361722017
This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License
References:
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