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This document analyzes the time series of the stock price index in Saudi Arabia from March 1985 to June 2002 using the Box-Jenkins methodology. It was found that the original data was non-stationary, so the logarithmic transformation and first differencing were used to make it stationary. The best fitting model was an ARIMA(1,1,0) without seasonal effects. This model was chosen based on diagnostic testing and information criteria.

Author

اشواق بن قدور

Language

EN