AnalyzingtheCyclicalBehaviorofElectricitySalesinthePresenceofSeasonalFluctuationsUsingSARIMAModels CHIKHI,MohamedandBenguesmi,Tarek MunichPersonalRePEcArchive

Analyzing the Cyclical Behavior of Electricity Sales in the Presence of

Seasonal Fluctuations Using SARIMA Models

CHIKHI, Mohamed and Benguesmi, Tarek

University of Ouargla, University of Biskra

20 November 2013

Online at https://mpra.ub.uni-muenchen.de/84385/

MPRA Paper No. 84385, posted 06 Feb 2018 18:33 UTC

1

ﻞﻴﻠﲢ كﻮﻠﺳ دﻮﺟو ﻞﻇ ﰲ ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﻪﺟﻮﳌا ء ﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ

تﺎﺒﻠﻘﺘﻟا ﺔﻴﲰﻮﳌا

جذﺎﳕ ماﺪﺨﺘﺳ SARIMA

Analyzing the Cyclical Behavior of Electricity Sales in the Presence of Seasonal Fluctuations Using SARIMA Models

ﻲﺨﻴﺷ ﺪﻤﳏ 1

ﻲﻤﺴﻗ ﻦﺑ قرﺎﻃ

2

ﺺﺨﻠﳌا : اﺬﻫ فﺪﻬﻳ لﺎﻘﳌا

ﱃإ يروﺪﻟا كﻮﻠﺴﻟا ﻞﻴﻠﲢ ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﻪﺟﻮﳌا ﺾﻔﺨﻨﳌا ﺮﺗﻮﺘﻟا تاذ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﳌ

دﻮﺟو ﻞﻇ ﰲ

تﺎﺒﻠﻘﺘﻟا ﺔﻴﲰﻮﳌا ةﺪﺘﻤﳌا ةﱰﻔﻟا لﻼﺧ ﻣ

ﻦ ﺮﻳﺎﻨﻳ 2006 ﱃإ ﺮﻳاﱪﻓ 2013 ﾖ ﺪﺨﺘﺳ ام ﳕ ﺎ جذ SARIMA ﺆﺒﻨﺘﻟا ﺔﻴﻠﻤﻋ ﰲ

و

تﺮﻬﻇأ ﺞﺋﺎﺘﻨﻟا نأ حﱰﻘﳌا جذﻮﻤﻨﻟا ﻠﺴﻟا ﺔﻴﻠﺑﺎﻗ تﺎﺒﺛإ ﱃإ ﾙدﺎﻗ ﺎﳑ ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕ ﻰﻠﻋ قﻮﻔﺘﻳ

ﺔﻠﺴ ﻟ ىﺪﳌا ﻰﻠﻋ ﺆﺒﻨﺘﻠ

ﲑﺼﻘﻟا ﺎﻤﻛ ، ﺔﺳارﺪﻟا ﻩﺬﻫ ﰲ ﺎﻨﻠﺻﻮﺗ ﱃإ

و ﺔﻬﺟ ﻦﻣ ﺆﺒﻨﺘﻟا ﺔﻴﻠﻤﻋ ﻰﻠﻋ ﺔﻳﺮﻬﺸﻟا تﺎﺒﻠﻘﺘﻟا ﺮﺛأ كﺎﻨﻫ نأ ﻰﻠﻋ

ﻦﻣ راﺮﻘﻟا ذﺎﲣا ﺔﻴﻠﻤﻋ

دﻮﻌﻳ ﻚﻟذ ﰲ ﺐﺒﺴﻟا .ىﺮﺧأ ﺔﻬﺟ .ﺔﻴﺴﻓﺎﻨﺘﻟا ةﺰﻴﳌا بﺎﻴﻏو ﺮﺋاﺰﳉا ﰲ ءﾖﺮﻬﻜﻟا قﻮﺳ ﻰﻠﻋ زﺎﻐﻠﻧﻮﺳ ﺔﺴﺳﺆﻣ رﺎﻜﺘﺣا ﱃإ

:ﺔﻴﺣﺎﺘﻔﳌا تﺎﻤﻠﻜﻟا جذﺎﳕ

SARIMA .ﺆﺒﻨﺘﻟا ،ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕ ،ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ ،

Abstract :

This paper aims to analyze the cyclical behavior of electricity sales (low-tension) oriented housing sector in the presence of seasonal fluctuations from January, 2006 to February, 2013 using the SARIMA models. The forecasting results show that the proposed model has better performance over the random walk model for short horizons and the informational shocks have transitory effects on electricity sales. We find also that the monthly fluctuations affect the forecasting and the decision-making because the SONELGAZ Company monopolizes the electricity market in Algeria and there is no competitive advantage.

Keywords: SARIMA models, Electricity sales, Random walk model, forecast.

ذﺎﺘﺳأ1

ﱐوﱰﻜﻟﻻا ﺪﻳﱪﻟا .ﺔﻠﻗرو ﺔﻌﻣﺎﺟ ،ﲑﻴﺴﺘﻟا مﻮﻠﻋو ﺔﻳرﺎﺠﺘﻟاو ﺔﻳدﺎﺼﺘﻗﻻا مﻮﻌﻟا ﺔﻴﻠﻛ ، :

mchikhi00@gmail.com .

ﻣ2

ﲑﺘﺴﺟﺎ

، ﺔﻌﻣﺎﺟ ،ﲑﻴﺴﺘﻟا مﻮﻠﻋو ﺔﻳرﺎﺠﺘﻟاو ﺔﻳدﺎﺼﺘﻗﻻا مﻮﻌﻟا ﺔﻴﻠﻛ ةﺮﻜﺴﺑ

، ﱐوﱰﻜﻟﻻا ﺪﻳﱪﻟا . :

guesmi@gmail.com en

tarek.b .

2

1 . ﻣ ﺔﻣﺪﻘ

ﺴﻳ ﻰﻌ ﺚﻴﺣ .ﺔﻘﻴﻗد تاراﺮﻗ ذﺎﲣا ﰲ ﺎﻬﻴﻠﻋ دﺎﻤﺘﻋﻻا ﻦﻣ ﻢﻬﻨﻜﲤ ﺔﻘﻴﻗد ﺔﻴﺋﺎﺼﺣإ تﺎﻣﻮﻠﻌﻣ ﻰﻠﻋ لﻮﺼﳊا ﱃإ ﺎﻤﺋاد راﺮﻘﻟا وﺬﺨﺘﻣ

ىدﺆﻳ ﺎﳑ ﺔﻳرادﻹا تاراﺮﻘﻟا ﻢﻈﻌﻣ ﻒﻨﺘﻜﻳ يﺬﻟا ﺪﻛﺄﺘﻟا مﺪﻌﺑ ﻢﺴﺘﺗو ﲑﻴﻐﺘﻟا ﺔﻌﻳﺮﺳو ﺪﻴﻘﻌﺘﻟا ﺔﻐﻟﾖ ﺔﻳرادﻹا تاراﺮﻘﻟا ذﺎﲣا ﺔﺌﻴﺑ ﺖﺤﺒﺻأ ﻃﺎﺨﳌا ﺔﺟرد عﺎﻔﺗرا ﱃإ ﻒﻠﺘﳐ ﰲ ﻦﻳﺮﻳﺪﳌا تارﺎﻬﻣ ﺔﻴﻤﻨﺘﻟ ﺔﺤﻠﻣ ةروﺮﺿ كﺎﻨﻫ ﺖﺤﺒﺻأ ﺪﻗو .ﺎﻬﻘﻴﻘﲢ ﻊﻗﻮﺘﳌا ﺞﺋﺎﺘﻨﻠﻟ ﺔﺒﺣﺎﺼﳌا ةﺮ

ﱵﻟا ﺔﻴﻤﻜﻟا ﺐﻴﻟﺎﺳﻷاو ةرادﻹا مﻮﻠﻋ تارﺎﻬﻣ ﻚﻠﲤ ﻰﻠﻋ ةﺪﻤﺘﻌﳌا ﺔﻳرادﻹا تﺎﺳرﺎﻤﳌاو ﺔﺜﻳﺪﳊا ﺔﻳرادﻹا تﺎﻫﺎﲡﻻﾖ ﺔﻳرادﻹا تﾚﻮﺘﺴﳌا ا تﺎﻣﻮﻠﻌﳌا ﻰﻠﻋ دﺎﻤﺘﻋﻻا ﻰﻠﻋ ﺪﻋﺎﺴﺗ ﰲ ﺔﻴﺿﾚﺮﻟاو ﺔﻴﺋﺎﺼﺣﻹا جذﺎﻤﻨﻟا ةﻮﻗ ﻦﻣ ﺪﻴﻔﺘﺴﺗ ﱵﻟاو ﻖﺋﺎﻘﺤﻠﻟ ﺔﻤﻋﺪﳌا سﺎﻴﻘﻠﻟ ﺔﻠﺑﺎﻘﻟا ﺔﻴﻤﻜﻟ

ﺎﻣ اﺬﻫو ،ﺎﻬﻨﻳﺰﲣ ﻰﻠﻋ ةرﺪﻘﻟا مﺪﻋ ﺐﺴﺑ سﺎﺴﺣ ءﾖﺮﻬﻜﻟا ﻰﻠﻋ ﺐﻠﻄﻟا ﱪﺘﻌﻳ .ﻞﺜﻣﻷا راﺮﻘﻟا ﱃإ ﻞﺻﻮﺘﻟا ﰲ ﻲﺼﺨﺷ ﺰﻴﲢ نود ﻞﻴﻠﺤﺘﻟا ﻦﻜﻤﺘﺗ ﱴﺣ اﺪﺟ ﲑﺼﻘﻟا ىﺪﳌا ﰲ ﺎ ﺎﻌﻴﺒﲟ ﺆﺒﻨﺘﻟا ضﺮﻔﻳ ﻒﻠﻜﺗ ﱵﻟا ﺔﻗﺎﻄﻟا عﺎﻴﺿو ﺪﻗﺎﻔﻟا ﻞﻴﻠﻘﺗو ﺔﻬﺟ ﻦﻣ ﺐﻠﻄﻟا ﺔ ﺎﳎ ﻦﻣ ﺔﺴﺳﺆﳌا

.ىﺮﺧأ ﺔﻬﺟ ﻦﻣ ﺔﻤﺨﺿ ﻎﻟﺎﺒﻣ ﺔﺴﺳﺆﳌا

نإ ﳌ ﺔﻴﺋﺎﺼﺣإ ﺺﺋﺎﺼﺧ ﺮﺋاﺰﳉا ﰲ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒ ﺔﻤﻬﻣ

ﺔﺟﺬﻤﻨﻟا ﻞﻜﺸﻣ ﰲ رﺎﺒﺘﻋﻻا ﲔﻌﺑ ﺬﺧﺆﺗ نأ ﺐﳚ تﺎﺒﻠﻘﺘﻟا دﻮﺟﻮﺑ ﻖﻠﻌﺘﺗ

ﺆﺒﻨﺘﻠﻟ ﺔﻴﺋﺎﺼﺣﻹا ﺺﺋﺎﺼﳋا ﻰﻠﻋ ﺮﺷﺎﺒﻣ ﲑﺛ ﺎﳍ ﱵﻟا ﺔﻴﲰﻮﳌا ﺖﻀﺘﻗا ﺎﻨﻫ ﻦﻣو ﺆﺒﻨﺘﻟا ﻰﻠﻋ ةﺮﻫﺎﻈﻟا ﺮﺴﻔﻳ يﺬﻟا جذﻮﻤﻨﻟا ةرﺪﻗ ىﺪﻣو

تاﲑﻐﺘﲟ ﺆﺒﻨﺘﻟا نأ تﺎﺳارﺪﻟا ﺖﺘﺒﺛأ ﺪﻘﻟ .ﺆﺒﻨﺘﻟا ﻰﻠﻋ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ ﺔﻴﻠﺑﺎﻗ ىﺪﻣ ﺔﺳارد ﻦﻣ ﺎﻨﻨﻜﲤ جذﺎﳕ لﺎﻤﻌﺘﺳا ةروﺮﻀﻟا SONELGAZ ﰲ تاراﺮﻘﻟا ذﺎﲣا ﰲ ﺔﻴﳘأ ﻦﻣ ﺎﳍ ﺎﳌ ﺔﻴﲰﻮﳌا تاﲑﻐﺘﻟﾖ ﾚﻮﻗ ﺎﻃﺎﺒﺗرا ﻂﺒﺗﺮﻳو ﲑﺼﻘﻟا ىﺪﳌا ﻰﻠﻋ ﻻإ نﻮﻜﻳ ﻻ

) ﺶﻣﺮﳐ ﺔﺳارد ﺎﻬﻨﻣ ﺮﻛﺬﻧ ﺔﺴﺳﺆﳌا ) ﻢﻴﺣر ﺔﺳاردو (2005

راﺪﳓﻻا جذﻮﳕ ﺆﺒﻨﺘﻟا ﺔﻴﻠﻤﻋ ﰲ ﺔﻣﺪﺨﺘﺴﳌا جذﺎﻤﻨﻟا ﻢﻫأ ﲔﺑ ﻦﻣ .(2012

ﰐاﺬﻟا - كﺮﺤﺘﳌا ﻂﺳﻮﺘﳌا ﱵﻴﻛﺮﺣو ﻲﺋاﻮﺸﻌﻟا مﺎﻌﻟا ﻩﺎﲡﻻا رﺎﺒﺘﻋﻻا ﲔﻌﺑ ﺬﺧﻷﾖ تاﲑﻐﺘﳌا ﻩﺬﳍ يروﺪﻟا كﻮﻠﺴﻟا سرﺪﻳ يﺬﻟا ﻲﲰﻮﳌا

ءﺰﺟ

ﻲﲰﻮﳌا ﻞﻣﺎﻜﺘﻟا ﻞﻣﺎﻌﻣو كﺮﺤﺘﳌا ﻂﺳﻮﺘﳌاو ﰐاﺬﻟا راﺪﳓﻻا ..

ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﳌ يروﺪﻟا كﻮﻠﺴﻟا ﻞﻴﻠﲢ ﱃإ لﺎﻘﳌا اﺬﻫ فﺪﻬﻳ ﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﻪﺟﻮﳌا ﺾﻔﺨﻨﳌا ﺮﺗﻮﺘﻟا تاذ

تﺎﺒﻠﻘﺘﻟا دﻮﺟو ﻞﻇ ﰲ ﻲﻠ

جذﻮﳕ ةرﺪﻗ ىﺪﻣ ﻞﻴﻠﲢ ﺔﻟوﺎﳏو ﺔﻳﺮﻬﺸﻟا SARIMA

سرﺪﻧ .راﺮﻘﻟا ذﺎﲣاو ﺆﺒﻨﺘﻟا ﻰﻠﻋ ﰲ

ﺺﺋﺎﺼﳋا لوﻷا ﺚﺤﺒﳌا ﺔﻴﺋﺎﺼﺣﻹا

ﺔﻴﻤﻠﻌﳌا ﲑﻏو ﺔﻴﻤﻠﻌﳌا تارﺎﺒﺘﺧﻻا ﻦﻣ ﺔﻋﻮﻤﳎ ﻖﻴﺒﻄﺗ ﻰﻠﻋ ﺎﻬﻴﻓ ﺰﻛﺮﻧ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﳌ ﻞﺜﲤ ﱵﻟا ةروﲑﺴﻟا دﺎﳚإ ﻰﻠﻋ ﾙﺪﻋﺎﺴﺗ ﱵﻟا

جذﻮﳕ لﺎﻤﻌﺘﺳﾖ تﺎﻌﻴﺒﳌا ﺔﺟﺬﳕ ﻰﻠﻋ ﺰﻛﺮﻨﺳ لﺎﻘﳌا اﺬﻫ ﻦﻣ ﱐﺎﺜﻟا ﺚﺤﺒﳌا ﺎﻣأ تﺎﻴﻄﻌﳌا SARIMA

.

2 . تﻼﺋﺎﻌﻟا عﺎﻄﻘﻟ ﺔﻬﺟﻮﳌا ء ﺮﻬﻜﻟا ﻦﻣ ﺔﻳﺮﻬﺸﻟا تﺎﻌﻴﺒﻤﻠﻟ ﺔﻴﺋﺎﺼﺣﻹا ﺺﺋﺎﺼﳋا

ﻦﻣ نﻮﻜﺘﺗ ﺔﻳﺮﻬﺷ ﺔﻴﻨﻣز ﺔﻠﺴﻠﺳ ﻞﻜﺸﺗ لﺎﻘﳌا اﺬﻫ ﰲ ﺖﻣﺪﺨﺘﺳا ﱵﻟا تﾙﺎﻴﺒﻟا نإ 87

ءﾖﺮﻬﻜﻠﻟ ﺔﻳﺮﻬﺸﻟا تﺎﻌﻴﺒﳌا ﻞﺜﲤ ةﺪﻫﺎﺸﻣ

ﺔﻟﺎﻛﻮﻟا تﻼﺠﺳ ﻦﻣ تﺬﺧأ ﱵﻟاو ﻲﻋﺎﺳ تاوﻮﻠﻴﻜﻟﾖ ةرﺪﻘﳌاو ﺔﻜﻳﺮﺑ ﺔﻨﻳﺪﲟ ﺔﺻﺎﳋا تﻼﺋﺎﻌﻟا عﺎﻄﻘﻟ ﻪﺟﻮﳌا ﺾﻔﺨﻨﳌا ﺮﺗﻮﺘﻟا تاذ ﱵﻟاو .ﺔﻜﻳﺮﺑ ةﺮﺋاﺪﺑ ﺔﻳرﺎﺠﺘﻟا ﱪﻤﺴﻳد ﻦﻣ ةﱰﻔﻟا ﻞﺜﲤ

يﺮﻔﻴﻓ ﱃإ2005 ﻩرﺪﻗ ﻂﺳﻮﺘﲟ 2012

7754269 ﺎﻴﻧد ﺔﻤﻴﻗو

3980666

ﺔﻨﺳ ﰲ ﺖﻠﺠﺳ ىﻮﺼﻗ ﺔﻤﻴﻗو2006

17096878 ﺔﻨﺳ ﰲ

ﻩرﺪﻗ يرﺎﻴﻌﻣ فاﺮﳓﾖ ﺎﻬﻄﺳﻮﺘﻣ ﻦﻋ ﺔﻠﺴﻠﺴﻟا ﻩﺬﻫ ﺖﺘﺸﺗو ،2012

2612924 .ﺔﻠﺴﻠﺴﻟا تﾚﻮﺘﺴﻣ ﺲﻧﺎﲡ مﺪﻋ ﻦﻋ ةﺮﻜﻓ ﺎﻨﻴﻄﻌﻳ ﺎﻣ ﻮﻫو

3

ﻦﻣ ﻆﺣﻼﻧ ﲎﺤﻨﳌا

ا ﰲ لوﻷا ﱐﺎﻴﺒﻟا ﻞﻜﺸﻟ

1 ،تاﺆﺘﻧو تاﺮﻌﻘﺗ ﰲ ﺔﻠﺜﻤﺘﻣ تﾖﺬﺑﺬﺗ دﻮﺟو ﻦﻋ ﻼﻀﻓ ﻦﻣﺰﻟا ﻊﻣ ﺪﻳاﺰﺘﻣ مﺎﻋ ﻩﺎﲡا دﻮﺟو

ﱃإ ﲑﺸﺗ تاﲑﻐﺘﻟا ﻩﺬﻫ .ىﺮﺧأ ﱃإ ﺔﻨﺳ ﻦﻣ ﺎ دادﺰﺗ ﱵﻟا ةﲑﺗﻮﻟا فﻼﺘﺧا ﻊﻣ ﺔﻨﺳ ﻞﻛ ةﲑﺗﻮﻟا ﺲﻔﻨﺑو مﺎﻈﺘﻧﾖ رﺮﻜﺘﺗ تﾖﺬﺑﺬﺘﻟا ﻩﺬﻫو ﲰﻮﻣ ﺔﺒﻛﺮﻣو مﺎﻋ ﻩﺎﲡا ﺔﺒﻛﺮﻣ دﻮﺟو ﺔﻴ

مﺎﻴﻘﻟا ﺪﻌﺑ ﺔﻳﺮﻬﺷ ﺔﻴﲰﻮﻣ تاﲑﻐﺗ دﻮﺟو ﺎﻴﻠﺟ ﺢﻀﺘﻳ ﻞﻜﺸﻟا ﺲﻔﻧ ﻦﻣ ﱐﺎﺜﻟا ﱐﺎﻴﺒﻟا ﲎﺤﻨﳌا ﻲﻔﻓ ،

ﺔﻴﻨﻘﺗ ﻖﻳﺮﻃ ﻦﻋ ﺔﻠﺴﻠﺴﻠﻟ ﻲﲰﻮﳌا ﻞﻳﺪﻌﺘﻟا ﺔﻴﻠﻤﻌﺑ CENSUS X12

لوﺪﳉا ﻲﻄﻌﻳ . ـﻟ يوﺪﺣﻮﻟا رﺪﳉا تارﺎﺒﺘﺧا ﺞﺋﺎﺘﻧ 1

Philips-Perron و

KPSS و Elliott-Rothenberg-Stock )

Philips and Perron 1988, Elliott,

Rothenberg and Stock 1996, Kwiatkowski, Phillips, Schmidt and Shin 1992 .(

ﻆﺣﻼﻧ نأ

) ﺔﺳارﺪﻟا ﺪﻴﻗ ﺔﻠﺴﻠﺴﻟا ao

( ﺐﺟﻮﺘﺴﻳ ﺎﳑ ﻲﺋاﻮﺸﻋ مﺎﻋ ﻩﺎﲡا دﻮﺟو راﺮﻘﺘﺳﻻا مﺪﻋ ﺐﺒﺳو ةﺮﻘﺘﺴﻣ ﲑﻏ ﻲﻬﻓ يوﺪﺣو رﺬﺟ ﻰﻠﻋ يﻮﺘﲢ

ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا تاذ ﺔﻠﺴﻠﺳ ﱃإ ةﺮﻫﺎﻈﻟا ﻞﻳﻮﲢ )

( dao ] ﲎﺤﻨﳌا ﺮﻈﻧأ ﻞﻜﺸﻟا ﻦﻣ ﺚﻟﺎﺜﻟا

[ 1 ةﺮﻘﺘﺴﻣ ةﲑﺧﻷا ﻩﺬﻫ ﱪﺘﻌﺗو

ﻋﾖ يوﺪﺣو رﺬﺟ ﻰﻠﻋ يﻮﺘﲢ ﻻ يأ مﺎﻌﻟا ﻩﺎﲡﻻا ﺚﻴﺣ ﻦﻣ ـﻟ ﺔﺟﺮﳊا ﻢﻴﻘﻟا ﻦﻣ ﱪﻛأ ﺔﻘﻠﻄﳌا ﺔﻤﻴﻘﻟﾖ ﺔﺑﻮﺴﶈا ﻢﻴﻘﻟا نأ رﺎﺒﺘ

Mackinnon ﺾﻓﺮﻧ يأ

H0

ﺔﻴﺋﺎﺼﺣإ ءﺎﻨﺜﺘﺳﾖ ﺔﻴﺿﺮﻓ ﻞﺒﻘﻧ ﺔﻟﺎﳊا ﻩﺬﻫ ﻲﻔﻓ ﺔﺟﺮﳊا ﺔﻤﻴﻘﻟا ﻦﻣ ﺮﻐﺻأ ﱪﺘﻌﺗ ﱵﻟا KPSS

ﺔﻳراﺮﻘﺘﺳﻻا H0

ﺔﻴﻠﺻﻷا ﺔﻠﺴﻠﺴﻠﻟ ﰐاﺬﻟا طﺎﺒﺗرﻻا ﺔﻟاﺪﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟﾖ ﻚﻟذ ﻦﻣ ﺪﻛﺄﺘﻟا ﻦﻜﳝ . )

) ﺔﻟﻮﶈا ﺔﻠﺴﻠﺴﻟاو (ao ( dao

ﺮﻈﻧأ)

ﲔﻠﻜﺸﻟا و 2

(3 ﺚﻴﺣ ، ﻆﺣﻼﻧ

ﻣ نأ تﻼﻣﺎﻌ ﰐاﺬﻟا طﺎﺒﺗرﻻا ﺔﺑﻮﺴﶈا

) ﺔﻠﺴﻠﺴﻠﻟ (ao

تاﻮﺠﻔﻟا ﻞﺟأ ﻦﻣ

،24

،21

،18

،15

،12

،11

،9

،6

،3

،2 ﺔﻘﺜﻟا لﺎﳎ جرﺎﺧ ﺮﻔﺼﻟا ﻦﻋ ﾚﻮﻨﻌﻣ ﻒﻠﺘﲣ 1

.

√ , _√^. مﺪﻋ ﻰﻠﻋ ﻞﻴﻟد اﺬﻫو

ﺔﻳراﺮﻘﺘﺳﻻا تﻼﻣﺎﻌﻣ ﺎﻣأ ، ) تﺎﻗوﺮﻔﻟا تاذ ﺔﻠﺴﻠﺴﻠﻟ طﺎﺒﺗرﻻا

ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ ﺮﻔﺼﻟا ﻦﻋ ﾚﻮﻨﻌﻣ ﺎﻀﻳأ ﻒﻠﺘﲣ (dao ﻦﻜﻟو0.05

) ﺔﻠﺴﻠﺴﻟا نأ لﻮﻘﻟا ﻦﻜﳝ .ﺔﻳﺮﻬﺷ ﺔﻴﲰﻮﻣ تﺎﺒﻠﻘﺗ دﻮﺟو ﻦﻋ ﺎﳕإو مﺎﻋ ﻩﺎﲡا دﻮﺟو ﻦﻋ ﺎﲨﾙ ﺲﻴﻟ ﺔﻳراﺮﻘﺘﺳﻻا مﺪﻋ ةﺮﻘﺘﺴﻣ ﲑﻏ (dao

ﻚﻟذ ﻦﻣ ﺪﻛﺄﺘﻠﻟو ﺔﻴﲰﻮﳌا ﺔﺒﻛﺮﳌا ﺚﻴﺣ ﻦﻣ ﺎﻀﻳأ

ا ﰎ رﺎﺒﺘﺧا لﺎﻤﻌﺘﺳ )HEGY

Hylleberg, Engle, Granger and Yoo

(1990 ) تﺎﻗوﺮﻔﻟا تاذ ﺔﻠﺴﻠﺴﻟا ﻰﻠﻋ dao

و ( لوﺪﳉا ﰲ ﻪﺠﺋﺎﺘﻧ ﺮﻬﻈﺗ يﺬﻟا 2

ﺮﺸﻴﻓو ﺖﻧدﻮﻴﺘﺳ تﺎﻴﺋﺎﺼﺣإ ﲑﺧﻷا اﺬﻫ ﻲﻄﻌﻳ .

ـﻟ ﺔﺟﺮﳊا ﻢﻴﻘﻟا ﻦﻣ ﱪﻛأ ﺎﻬﻠﻤﳎ ﱪﺘﻌﺗ ﱵﻟا Franses and Taylor

) ﺔﻠﺴﻠﺴﻟا ﰲ ﺔﻴﲰﻮﻣ تﺎﺒﻠﻘﺗ دﻮﺟﻮﺑ ﻲﺣﻮﻳ ﺎﳑ ( dao

ﺔﺠﻴﺘﻨﻛو

ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا بﺎﺴﲝ ﺔﻴﲰﻮﳌا ﺔﺒﻛﺮﳌا ﺔﻟازإ ﻢﺘﻳ ﻚﻟﺬﻟ ﺔﺒﻛﺮﳌاو مﺎﻌﻟا ﻩﺎﲡﻻا ﺚﻴﺣ ﻦﻣ ةﺮﻘﺘﺴﻣ ﺔﻠﺴﻠﺳ ﻰﻠﻋ ﻞﺼﺤﺘﻧو = 12

) ﺔﻴﲰﻮﳌا ﻞﻜﺸﻟا ﺮﻈﻧأ) ةﺪﻳﺪﳉا ﺔﻠﺴﻠﺴﻠﻟ ﰐاﺬﻟا طﺎﺒﺗرﻻا ﺔﻟاد لﻼﺧ ﻦﻣ ﻪﻈﺣﻼﻧ ﺎﻣ اﺬﻫو (sdao

( 4 رﺎﺒﺘﻋﾖ طﺎﺒﺗرﻻا تﻼﻣﺎﻌﻣ نأ

ﺔﻘﺜﻟا لﺎﳎ ﻞﺧاد ﺎﻬﻠﻛ ﻊﻘﺗ ﰐاﺬﻟا يأ

ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ ﺮﻔﺼﻟا ﾚﻮﻨﻌﻣ يوﺎﺴﺗ .0.05

لوﺪﳉا ﰲ ﲔﺒﻣ ﻮﻫ ﺎﻤﻛ ) ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻟا نأ ﻰﻠﻋ ﻞﻴﻟد كﺎﻨﻫ ،3

ﺔﻴﺋﺎﺼﺣإ نأ ﺚﻴﺣ ﻲﻌﻴﺒﻃ ﻊﻳزﻮﺗ تاذ (sdao Jarque-

ﻊﻳزﻮﺘﻟ ﺔﺟﺮﳊا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأBera ﺔﻳﺮﺣ ﺔﺟرﺪﺑχ

ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ2 )0.05

p-Value يوﺎﺴﻳ يﺬﻟا

0.0866 ﱪﻛأ

ﻦﻣ (0.05 ﺮﺷﺆﻣو Skewness ﻜﻳ ﺪﻗ ﺮﻇﺎﻨﺘﻟﺎﻓ ،ﺮﻇﺎﻨﺘﻣ ﺎﺒﻳﺮﻘﺗ ﻊﻳزﻮﺘﻟا نأ يأ موﺪﻌﻣ ﺎﺒﻳﺮﻘﺗ ﺮﻇﺎﻨﺘﻟا سﺎﻴﻘﻣ ﻦﻋ ﱪﻌﻳ يﺬﻟا

ةرﺎﺷإ نﻮ

ﺔﻴﻄﺧ ﱃإ ءﾖﺮﻬﻜﻟا ﻦﻣ ﺔﻳﺮﻬﺸﻟا تﺎﻌﻴﺒﻤﻠﻟ ﺔﻠﺜﻤﳌا ةروﲑﺴﻟا ﲑﺛ كﺎﻨﻫ ﺲﻴﻟ ،ﻚﻟذ ﱃإ ﺔﻓﺎﺿإ

ﻋARCH ﻦﻳﺎﺒﺘﻟا ﺮﺧآ ﲎﻌﲟ ةﺮﻫﺎﻈﻟا ﻰﻠ

ﺲﻧﺎﺠﺘﻣ تﺎﻌﻴﺒﳌا ﺔﻠﺴﻠﺴﻟ ﻲﻃﺮﺸﻟا ﺚﻴﺣ

ﺔﻴﺋﺎﺼﺣإ نأ ARCH-LM

ﱵﻟاو يوﺎﺴﺗ 0.5568 ﻊﻳزﻮﺘﻟ ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأ

ﺔﻳﺮﺣ ﺔﺟرﺪﺑχ ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ1

)0.05 p-Value يوﺎﺴﻳ يﺬﻟا

0.4556 ﻦﻣ ﱪﻛأ (0.05 ﻞﻜﺸﻟا ،ىﺮﺧأ ﺔﻬﺟ ﻦﻣ . 5

ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻠﻟ ﺔﻴﻔﻴﻄﻟا ﺔﻟاﺪﻟا رﻮﻄﺗ ﺮﻬﻈﻳ the periodogram

نأ ﻆﺣﻼﻧ ﺚﻴﺣ ةدﻮﺟﻮﻣ ﲑﻏ ﺔﻠﻳﻮﻄﻟا ةﺮﻛاﺬﻟا نأ ﺢﺿاﻮﻟا ﻦﻤﻓ ،

ﱃإ لوﺆﺗ ﻻ ﻲﻬﻓ ﻞﺻاﻮﻔﻟا رﻮﳏ ﰲ تﺎﺟﻮﳌا لﻮﺣ ﺰﻛﺮﻤﺘﺗ ﻻ ﺔﻟاﺪﻟا ﱃإ ﺔﺟﻮﳌا لوﺆﺗ ﺎﻣﺪﻨﻋ ∞

. 0 ﺔﺠﻴﺘﻨﻟا ﻩﺬﻫ ﻦﻣ ﺪﻛﺄﺘﻟا ﻞﺟأ ﻦﻣ

ﺮﻳﺪﻘﺘﺑ ﺎﻨﻤﻗ ﳌ ﻲﻤﻠﻌﻣ ﻪﺒﺷ

ﺔﻠﺴﻠﺴﻠﻟ ﺔﻠﻳﻮﻄﻟا ةﺮﻛاﺬﻟا ﻞﻣﺎﻌ )

sdao ﺔﻴﻔﻴﻄﻟا ﺔﻟاﺪﻠﻟ ﺔﻔﻠﺘﳐ ﺬﻓاﻮﻧ لﺎﻤﻌﺘﺳﾖ ( GPH

) Geweke,

4

Porter and Hudak 1983 (

لوﺪﳉا ﰲ ﺞﺋﺎﺘﻨﻟا ﺮﻬﻈﺗ ، ﺔﻴﺋﺎﺼﺣإ ﺔﻳﻮﻨﻌﻣ ﻪﻟ ﺲﻴﻟ يﺮﺴﻜﻟا ﻞﻣﺎﻜﺘﻟا ﻞﻣﺎﻌﻣ نأ ﱃإ ﻲﺣﻮﺗ ﱵﻟا4

ﺔﻟﻻد ىﻮﺘﺴﻣ ﺪﻨﻋ ةﲑﺼﻘﻟا ةﺮﻛاﺬﻟا ﺔﻴﺿﺮﻓ ﻞﺒﻘﻧ ﻪﻴﻠﻋو 0.05

H0

ﺎﻌﻴﺒﳌﾖ ﺆﺒﻨﺘﻟا ﻦﻜﳝ ﻻ ﻪﻧأ ﲏﻌﻳ اﺬﻫو ءﾖﺮﻬﻜﻠﻟ ﺔﻳﺮﻬﺸﻟا ت

ﺔﻬﺟﻮﳌا

ىﺪﳌا ﻰﻠﻋ ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﻞﻳﻮﻄﻟا

ةﺮﺑﺎﻋ ﺔﻴﺟرﺎﺧ ﺔﻣﺪﺼﻟ ﺔﺠﻴﺘﻨﻛ ﺮﻬﻈﺗ تﺎﻌﻴﺒﳌا ﺔﻛﺮﺣو Transitory Exogenous Shocks

تﺎﻴﺋﺎﺼﺣإ نﻷ ﺮﻈﻧأ)BDS

لوﺪﳉا ( 5 ﻲﻌﻴﺒﻄﻟا ﻊﻳزﻮﺘﻠﻟ ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﱪﻛأ ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ 1.96

ﻢﻴﻗ) 0.05 p-

Value ﻦﻣ ﲑﺜﻜﺑ ﺮﻐﺻأ ( 0.05

ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا ﺔﻴﺿﺮﻓ ﺾﻓﺮﻧ يأ تﺮﻬﻇأ ىﺮﺧأ ﺔﻬﺟ ﻦﻣو

ﻨﺑ ﺞﺋﺎﺘﻨﻟا ىﺪﳌا ﻰﻠﻋ ﺔﻳﻮﻗ طﺎﺒﺗرا ﺔﻴ

ﲑﺼﻘﻟا و .ﲑﺼﻘﻟا ىﺪﳌا ﻰﻠﻋ ﺆﺒﻨﺘﻠﻟ ﺔﻠﺑﺎﻗ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ

3 . جذﻮﳕ حاﱰﻗا SARIMA

ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﺔﻬﺟﻮﳌا ء ﺮﻬﻜﻟا تﺎﻌﻴﺒﲟ ﺆﺒﻨﺘﻠﻟ –

ﺔﻟﺎﻛو ﺔﻜﻳﺮﺑ ﺳ ﻮ زﺎﻐﻠﻧ -

ءﻮﺿ ﻰﻠﻋ ﺞﺋﺎﺘﻧ تارﺎﺒﺘﺧﻻا ﺎﻬﻴﻠﻋ ﻞﺼﺤﺘﳌا

ﺔﺟﺬﳕ روﺪﺗ ، تﺎﻌﻴﺒﻣ

ءﾖﺮﻬﻜﻟا ﺔﻴﻄﳋا تاروﲑﺴﻟا ﻚﻠﻓ ﰲ ﻟا

ﺔﻴﺋاﻮﺸﻌ ،رﺎﻃﻹا اﺬﻫ ﰲو

جذﻮﳕ حﱰﻘﻧ SARIMA

) Box and Jenkins 1976 (

ﳝ يﺬﻟا ﻲﻠﻳ ﺎﻤﻛ ﺎﻴﺿﾚر ﻪﻨﻋ ﲑﺒﻌﺘﻟا ﻦﻜ :

s t D t

d s

s ao L L

L

L  

_{( )}_{( )}   _{( )}_{( )}

ﻊﻣ :

:

q qS S

S S

p pS S

S S

L L

L L

L L

L L





































....

...

1 ) (

....

...

1 ) (

2 2 1

2 2

1

ﻞﺜُﳝ





Ds  L

 1

ﺔﺟرﺪﻟا ﻦﻣ ﺔﻴﲰﻮﳌا تﺎﻗوﺮﻔﻟا و D

 

d  L

 1

ﺔﺟرﺪﻟا ﻦﻣ ﺔﻴﻟﺎﺘﺘﳌا تﺎﻗوﺮﻔﻟا ناﺬﻠﻟا d

إ ﻖﻴﻘﺤﺘﻟ نﺎﻣﺪﺨﺘﺴﻳ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ ﺔﻳراﺮﻘﺘﺳ

(^ao) و n t ,12,..., .

ﻦﻣ ﺔﻋﻮﻤﳎ ﺎﻨﻳﺪﻟ جذﺎﳕ

SARIMA ﺔﻄﺳاﻮﺑ ﺔﺿﻮﻓﺮﳌا ﲑﻏ

ﺾﻌﺑ ﻹا تاودﻷا ﺔﻴﺋﺎﺼﺣ

، حوﺮﻄﳌا لاﺆﺴﻟﺎﻓ ﰲ رﺎﺘﳔ جذﻮﳕ يأ

ﻟ ؟ﺔﻟﺎﳊا ﻩﺬﻫ ﺔﻴﺗﻵا ﺔﺛﻼﺜﻟا ﲑﻳﺎﻌﳌا ﲑﻐﺼﺘﺑ ﻚﻟذو ﺔﻠﺿﺎﻔﳌا ﺔﻴﻠﻤﻌﺑ مﻮﻘﻧ جذﻮﻤﻨﻟا ﺔﺟرد ﺪﻳﺪﺤﺘ

:







 



 



  

n q q p

p

AIC( , ) ˆ².exp 2

 

n q Ln p

BIC ˆ² .



 



 

 

2 C ,

 

  ^

^

ﺚـــﻴﺣ ˆ2

نأ ﺎـــﻤﻛ ﻂـــﻘﻓ تاﺪﻫﺎـــﺸﳌا دﺪـــﻋ ﻰـــﻠﻋ ﻲﻗاﻮـــﺒﻟا تﺎـــﻌﺑﺮﻣ ﺔﻤـــﺴﻘﺑ يأ ﻰـــﻤﻈﻌﻟا ﺔـــﻴﻟﻮﻘﻌﳌا ﺔـــﻘﻳﺮﻄﺑ بﻮـــﺴﶈا ﻲﻗاﻮـــﺒﻟا ﻦﻳﺎـــﺒﺗ 

راﺪﻘﳌا





.جذﻮﻤﻨﻟا ﱵﺟرد عﻮﻤﳎ ﺲﻴﻟو رﺪﻘﳌا جذﻮﻤﻨﻟا ﱂﺎﻌﻣ دﺪﻋ ﱃإ ﲑﺸﻳ ﺎﻨﻫ

5

لوﺪﳉا لﻼﺧ ﻦﻣ ،6

ﺔﻠﺴﻠﺳ تاﲑﻐﺗ ﻦﻋ ﺮﺜﻛأ ﱪﻌﻳ يﺬﻟا ﻞﺜﻣﻷا جذﻮﻤﻨﻟا نأ ﻆﺣﻼﻧ تﺎﻌﻴﺒﻣ

ءﾖﺮﻬﻜﻟا ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﺔﻬﺟﻮﳌا

جذﻮﳕ ﻮﻫ SARIMA(1,1,4)(0,1,0)¹² ﻷ

ﻌﻣ ن ﺎﻳ ﲑ وAIC Schwarz و

ﺗHQ ﺔﻴﻠﻀﻓأ ﱃإ ﲑﺸ جذﻮﻤﻨﻟا اﺬﻫ

رﺎﺒﺘﻋﾖ نأ

ىﺮﻐﺼﻟا ﺔﻤﻴﻘﻟا ﺬﺧ ﲑﻳﺎﻌﳌا ﱏدﻷا ﺎﻫﺪﺣ ﰲ يأ

. لوﺪﳉا ﰲ ﺔﻨﻴﺒﳌا ﺮﻳﺪﻘﺘﻟا ﺞﺋﺎﺘﻧ لﻼﺧ ﻦﻣ ،7

ﺔﻴﺋﺎﺼﺣإ ﺔﻳﻮﻨﻌﻣ ﱂﺎﻌﻤﻠﻟ نأ ﻆﺣﻼﻧ

ﺔﻳﻮﻨﻌﻣ ﺔﺒﺴﻨﺑ ﺚﻴﺣ 0.05

ﻲﻌﻴﺒﻄﻟا ﻊﻳزﻮﺘﻠﻟ ﺔﺟﺮﳊا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﱪﻛأ ﺔﻘﻠﻄﳌا ﺔﻤﻴﻘﻟﾖ ﺖﻧدﻮﻴﺘﺳ ﻢﻴﻗ نأ

، 1.96 ﺐﺴﻧ ﺮﺧآ ﲎﻌﲟ

لﺎﻤﺘﺣﻻا p-Value

ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأ

، 0.05

،ﻚﻟذ ﱃإ ﺔﻓﺎﺿإ ﺞﻧاﺮﻏﻻ ﻒﻋﺎﻀﻣ ﺔﻴﺋﺎﺼﺣإو اﺪﺟ ﺔﻴﻟﺎﻋ ﺔﻳﲑﺴﻔﺗ ةرﺪﻗ جذﻮﻤﻨﻠﻟ

× = 72.204 ﻊﻳزﻮﺘﻟ ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﱪﻛأ

ﺔﻳﺮﺣ ﺔﺟرﺪﺑχ ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ2

.0.05

ﻞﻜﺸﻟا لﻼﺧ ﻦﻣ 6

ﺔﻴﻠﺻﻷا ﺔﻠﺴﻠﺴﻟا ﻲﻴﻨﺤﻨﻣ ﲔﺑ ﺔﻘﺑﺎﻄﳌا ﻪﺒﺷ ﺔﻈﺣﻼﻣ ﺎﻨﻨﻜﳝ (^ao)

ةرﺪﻘﳌا ﺔﻠﺴﻠﺴﻟا ﲎﺤﻨﻣو (^aohat)

اﺬﻫ ،

رﺪﻘﳌا جذﻮﻤﻨﻟا ﲑﺒﻌﺗ ﺔﻴﳘأ ىﺪﻣ ﻦﻋ ةﺮﻜﻓ ﺎﻨﻴﻄﻌﻳ نأ ﻪﻧﺄﺷ ﻦﻣ SARIMA(1,1,4)(0,1,0)¹²

تﾙﺎﻴﺑ ﱃإ تﺎﻌﻴﺒﻣ

.ءﾖﺮﻬﻜﻟا

ﻦﻣ ،ىﺮﺧأ ﺔﻬﺟ ﻞﻜﺸﻟا لﻼﺧ ﻦﻣ ﻆﺣﻼﻧ

نأ8 ﻲﻗاﻮﺒﻟا ﺔﻠﺴﻠﺳ ﻞﻜﺸﻟا ﰲ ﺔﻠﺜﻤﳌا

ﻊﻘﺗ ﰐاﺬﻟا طﺎﺒﺗرﻻا تﻼﻣﺎﻌﻣ نأ ﺚﻴﺣ ةﺮﻘﺘﺴﻣ7

ﺔﻘﺜﻟا لﺎﳎ ﻞﺧاد ﺎﻬﻠﻛ



 



  n n

96 . , 1 96 . ءﺎﻄﺧﻷا ﲔﺑ ﺔﻣﾗ ﺔﻴﻟﻼﻘﺘﺳا كﺎﻨﻫ نأ ﲏﻌﻳ اﺬﻫ و 1 ﺔﻴﺋﺎﺼﺣإ ﻩﺪﻛﺆﺗ ﺎﻣ اﺬﻫو

Breusch-Godfrey يوﺎﺴﺗ ﱵﻟا

4.433 ﻊﻳزﻮﺘﻟ ﺔﺟﺮﳊا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأ . χ

ﺔﻳﺮﺣ ﺔﺟرﺪﺑ ﻞﺒﻘﻧ ﺚﻴﺣ 2

H0

ﺔﻴﺿﺮﻓ

نأ ﺎﻤﻛ ،ءﺎﻄﺧﻷا ﺔﻴﻟﻼﻘﺘﺳا إ

ﱵﻴﺋﺎﺼﺣ Box-Pierce و

Ljung-Box لوﺪﳉا ﰲ ﲔﺘﺤﺿﻮﳌا

ﾚوﺎﺴﺗ8 ﺐﻴﺗﱰﻟا ﻰﻠﻋ ن 12.57

و 14.27 نﺎﻴﻘﺒﺗ ﻊﻳزﻮﺘﻟ ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﻞﻗأ ﺎﻤﺋاد

2

ﺔﻳﺮﺣ ﺔﺟرﺪﺑ ﺔﻠﺴﻠﺴﻟ ﰐاﺬﻟا طﺎﺒﺗرﻻا تﻼﻣﺎﻌﻣ نأ ﺎﻤﻛ .16

تﺎﻌﺑﺮﻣ

ﻞﻜﺸﻟا ﰲ ﺔﻨﻴﺒﳌا ﻲﻗاﻮﺒﻟا (ﺔﻘﺜﻟا لﺎﳎ ﻞﺧاد ﺎﻬﻠﻛ ﻊﻘﺗ) ﺮﻔﺼﻟا ﾚﻮﻨﻌﻣ يوﺎﺴﺗ 8

راﺮﻘﺘﺳﻻﾖ ﺰﻴﻤﺘﺗ ﺚﻴﺣ ءﺎﻄﺧﻷا نأ ﲏﻌﻳ اﺬﻫ و

ﺔﻴﺋاﻮﺸﻌﻟا ﺔﻴﺋﺎﺼﺣإ ﻩﺪﻛﺆﺗ ﺎﻣ اﺬﻫو (ﺲﻧﺎﺠﺘﻣ) ﺖﺑﾘ ﻲﻃﺮﺷ ﻦﻳﺎﺒﺘﺑ ﺰﻴﻤﺘﺗ ARCH-LM

يوﺎﺴﺗ ﱵﻟا 1.5459

ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأ

ﻊﻳزﻮﺘﻟ ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﺔﻳﺮﺣ ﺔﺟرﺪﺑ χ

ﺔﻳﻮﻨﻌﻣ ىﻮﺘﺴﻣ ﺪﻨﻋ 1 ﺔﻴﺋﺎﺼﺣإ ﻖﻓو ﺲﻧﺎﺠﺘﻣ ءﺎﻄﺧﻷا ﻦﻳﺎﺒﺗ ،ىﺮﺧأ ﺔﻬﺟ ﻦﻣ .0.05

White لوﺪﳉا ﰲ ﱵﻟاو8

يوﺎﺴﺗ 0.3374 ﺔﻤﻴﻗ ﻦﻣ ﺎﻣﺎﲤ ﻞﻗأ

2

ﺔﻳﺮﺣ ﺔﺟرﺪﺑ ﺔﻟوﺪ ا ،4

ﺎﻴﻌﻴﺒﻃ ﺎﻌﻳزﻮﺗ عزﻮﺘﺗ ﻻ ﻲﻗاﻮﺒﻟا نأ ﻻإ

ﻲﻌﻴﺒﻄﻟا ﻊﻳزﻮﺘﻟا ﺔﻴﺿﺮﻓ ﺾﻓﺮﻧ ﺚﻴﺣ H0

لﺎﻤﻌﺘﺳﾖ Jarque-Bera يوﺎﺴﺗ ﱵﻟا

10.01 ﺔﻟوﺪ ا ﺔﻤﻴﻘﻟا ﻦﻣ ﺎﻣﺎﲤ ﱪﻛأ ﱪﺘﻌﺗ ﱵﻟاو

ﺔﻤﻴﻗو 5.99 ﻞﻜﺸﻟا ﰲ ﺎﻴﻠﺟ ﺮﻬﻈﻳ ﺎﻣ ﻮﻫو ﺔﺟﺮﳊاχ

ﺔﻟاد ﻰﻠﻋ ﺎﻣﺎﲤ ﻖﺒﻄﻨﺗ ﻻ ﺔﻳﺮﻈﻨﻟا ﺔﻓﺎﺜﻜﻟا ﺔﻟاد نأ ﺚﻴﺣ 9 ةرﺪﻘﳌا ﺔﻓﺎﺜﻜﻟا

.ةاﻮﻨﻟا ﺔﻘﻳﺮﻄﺑ

لوﺪﳉا ﰲ ﺮﻬﻈﺗ ﺆﺒﻨﺘﻟا ﺞﺋﺎﺘﻧ .حﱰﻘﳌا جذﻮﻤﻨﻟا ﻦﻣ ﺎﻗﻼﻄﻧا ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﲟ ﺆﺒﻨﺘﻟا ﻦﻜﳝ ،ﻖﺒﺳ ﺎﻣ ﻰﻠﻋ ءﺎﻨﺑ ﺆﺒﻨﺘﻟا ﻲﻄﻌﻳ يﺬﻟا9

ﲑﺧﻷا اﺬﳍ ﺔﻘﺛ تاﱰﻓ ءﺎﻨﺑ ﺎﻨﻤﻗ ﺆﺒﻨﺘﻟا اﺬﻫ بﺎﺴﺣ ﺪﻌﺑ و ﻲﻄﻘﻨﻟا ﻞﻜﺸﻟا ﺎﻀﻳأ ﺮﻈﻧأ)

( 11 ذﺎﲣا ﺔﻴﻐﺑ ﺎﻘﻴﻗد ﻞﻴﻠﺤﺘﻟا نﻮﻜﻳ ﻲﻜﻟ

ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕو جذﻮﻤﻨﻟا ﲔﺑ ﺔﻠﺿﺎﻔﳌا ﺔﻴﻠﻤﻌﺑ ﺎﻨﻤﻗ ﺎﻤﻛ ﺔﻳدﺎﺼﺘﻗﻻا تاراﺮﻘﻟا ﲑﻐﺼﺘﺑ

ﺔﻗﻼﻌﻟﾖ ﻰﻄﻌﳌا ﺆﺒﻨﺘﻟا ﺄﻄﺧ ﻦﻳﺎﺒﺗ رﺎﻴﻌﻣ :



 

 ^H

h aon H h aon H h

H QME

1

2

1 ( ˆ )

ﺚﻴﺣ ﺆﺒﻨﺘﻟا ﻖﻓأ ﻮﻫH ﱄﺎﲨﻹا

جذﻮﳕ نأ لوﺪﳉا لﻼﺧ ﻦﻣ ﻆﺣﻼﳌا ﻦﻣ . SARIMA(1,1,4)(0,1,0)¹²

ﻞﻀﻓأ ﻦﻣ

ﻲﺋاﻮﺸﻌﻟا ﱪﺴﻟا جذﻮﻤﻨﺑ ﺔﺻﺎﳋا ﻚﻠﺗ ﻦﻣ ﺮﻐﺻأ حﱰﻘﳌا جذﻮﻤﻨﻟا ﰲ ﺆﺒﻨﺘﻟا ﺄﻄﺧ ﻦﻳﺎﺒﺗ ﻢﻴﻗ نأ رﺎﺒﺘﻋﾖ ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕ ﺎﻤﻠﻛ ﻦﻜﻟ ،

ﺆﺒﻨﺘﻟا ﺄﻄﺧ ﻦﻳﺎﺒﺗ ﺔﻤﻴﻗ ﺖﻌﻔﺗرا ﺎﻤﻠﻛ ﺆﺒﻨﺘﻟا ﻖﻓأ داز ﻟو ىﺪﳌا ﲑﺼﻗ ﱪﺘﻌﻳ ﺆﺒﻨﺘﻟا نأ ﱃإ دﻮﻌﻳ ﻚﻟذ ﰲ ﺐﺒﺴﻟاو

،ﻞﻳﻮﻄﻟا ىﺪﳌا ﻰﻠﻋ ﺲﻴ

نذإ ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﻣ ﺖﺴﻴﻟ

ﺆﺒﻨﺘﻠﻟ ﺔﻠﺑﺎﻗ ﻻإ

ا ىﺪﳌا ﻰﻠﻋ ﺔﻣﺪﺼﻟا ﺔﻌﻴﺒﻃو ﲑﺼﻘﻟ

ﺔﻟﺎﳊا ﻩﺬﻫ ﰲ ةﺮﺑﺎﻋ ﺔﻴﺟرﺎﺧ ﺔﻣﺪﺻ ﻲﻫ

و لﻼﺧ ﻦﻣ

6

ﻞﻜﺸﻟا ﻰﻠﻋ ﺎﻀﻳأ و رﺎﺘﺨﳌا جذﻮﻤﻨﻠﻟ ﺔﻴﺋﺎﺼﺣﻹا ةدﻮﳉا ﻰﻠﻋ ىﺮﺧأ ةﺮﻣ ﺪﻛﺆﻳ ﺎﳑ ﺔﻴﻠﺻﻷا ﺔﻠﺴﻠﺴﻟا ﻊﺒﺘﻳ ﺆﺒﻨﺘﻟا نأ لﻮﻘﻟا ﻦﻜﳝ ،10

ةﻮﻗ

.ﺆﺒﻨﺘﻟا

4 . ﺔﲤﺎﺧ

ﰒ ﺔﻳﺮﻬﺸﻟا تﺎﺒﻠﻘﺘﻟا دﻮﺟو ﻞﻇ ﰲ تﺎﻌﻴﺒﻤﻠﻟ يروﺪﻟا كﻮﻠﺴﻟا ﻞﻴﻠﲢ ﻦﻣ ﺎﻨﺘﻨﻜﻣ ﱵﻟا تارﺎﺒﺘﺧﻻا ﻢﻫأ ﱃإ لﺎﻘﳌا اﺬﻫ ﰲ ﺎﻨﻗﺮﻄﺗ ﺪﻘﻟ جذﻮﳕ ﺎﻨﻣﺪﺨﺘﺳا SARIMA

ﺔﻴﻠﺑﺎﻗ تﺎﺒﺛإ ﱃإ ﾙدﺎﻗ ﺎﳑ ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕ ﻰﻠﻋ قﻮﻔﺘﻳ ﲑﺧﻷا اﺬﻫ نأ ﺎﻨﻨﻴﺑو ﺆﺒﻨﺘﻟا ﺔﻴﻠﻤﻋ ﰲ

ﺔﻴﻠﻤﻋو ﺔﻬﺟ ﻦﻣ ﺆﺒﻨﺘﻟا ﺔﻴﻠﻤﻋ ﻰﻠﻋ ﺔﻳﺮﻬﺸﻟا تﺎﺒﻠﻘﺘﻟا ﺮﺛأ كﺎﻨﻫ نأ ﺔﺳارﺪﻟا ﻩﺬﻫ ﰲ ﺎﻨﻠﺻﻮﺗ .ﲑﺼﻘﻟا ىﺪﳌا ﻰﻠﻋ ﺆﺒﻨﺘﻟا ﻰﻠﻋ ﺔﻠﺴﻠﺴﻟا ﻌﻳ ﻚﻟذ ﰲ ﺐﺒﺴﻟا .ىﺮﺧأ ﺔﻬﺟ ﻦﻣ راﺮﻘﻟا ذﺎﲣا ﺔﻴﺴﻓﺎﻨﺘﻟا ةﺰﻴﳌا بﺎﻴﻏو ﺮﺋاﺰﳉا ﰲ ءﾖﺮﻬﻜﻟا قﻮﺳ ﻰﻠﻋ زﺎﻐﻠﻧﻮﺳ ﺔﺴﺳﺆﻣ رﺎﻜﺘﺣا ﱃإ دﻮ

.

تﺎﻌﻴﺒﻣ ﺔﻛﺮﺣ ﺮﺧآ ﲎﻌﲟ ىﺪﳌا ﻞﻳﻮﻃ دﻮﻤﺼﻟا بﺎﻴﻏو ىﺪﳌا ﲑﺼﻗ طﺎﺒﺗرا ﺔﻴﻨﺒﺑ ﺰﻴﻤﺘﺗ ﺮﺋاﺰﳉا ﰲ ﺔﻳدﺎﺼﺘﻗﻻا تاﲑﻐﺘﳌا ﻢﻈﻌﻣ نإ ﺔﻣاﺪﺘﺴﻣ ﻻو ﺔﻤﺋاد ﻻ ﺖﺴﻴﻟ ﺔﻴﺟرﺎﺧ ﺔﻣﺪﺼﻟ ﺔﺠﻴﺘﻨﻛ ﺮﻬﻈﺗ ءﾖﺮﻬﻜﻟا .تﻻﺎﳊا ﻞﻛ ﰲ ﺔﺿﻮﻓﺮﻣ ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا ﺔﻴﺿﺮﻓ ﺎﳌﺎﻃ ةﺮﺑﺎﻋ ﺎﳕإو

ﻊﺟاﺮﳌا ﺔﻴﺑﺮﻌﻟا ﺔﻐﻠﻟﾖ :

1 . ،تﺎﻬﺘﻫ ﺪﻴﻌﺴﻟا ﺮﺋاﺰﳉا ﰲ ﻢﺨﻀﺘﻟا ةﺮﻫﺎﻈﻟ ﺔﻴﺳﺎﻴﻗو ﺔﻳدﺎﺼﺘﻗا ﺔﺳارد

،ةرﻮﺸﻨﻣ ﲑﻏ،ﲑﺘﺴﺟﺎﻣ ةدﺎﻬﺷ ﻞﻴﻨﻟ ةﺮﻛﺬﻣ ،

،ﺔﻳدﺎﺼﺘﻗﻻا مﻮﻠﻌﻟاو قﻮﻘﳊا ﺔﻴﻠﻛ ،ﺔﻠﻗرو ﺔﻌﻣﺎﺟ .2006

2 .

،ﺶﻣﺮﳐ ﺔﻠﺒﻋ ﺔﻴﻨﻣﺰﻟا ﻞﺳﻼﺴﻟا ماﺪﺨﺘﺳﾖ تﺎﻌﻴﺒﳌﾖ ﺆﺒﻨﺘﻠﻟ جذﻮﳕ ﺮﻳﺪﻘﺗ

ﺲﻛﻮﺑ جذﺎﳕ) -

(ﺰﻨﻴﻜﻨﺟ - ﺔﻟﺎﺣ ﺔﺳارد

زﺎﻐﻟاو ءﾖﺮﻬﻜﻠﻟ ﺔﻴﻨﻃﻮﻟا ﺔﻛﺮﺸﻟا -

(ﺔﻠﻗرو ﺔﻘﻄﻨﻣ)

، ﺔﻴﻠﻛ،ﺔﻠﻗرو ﺔﻌﻣﺎﺟ،ةرﻮﺸﻨﻣ ﲑﻏ،ﲑﺘﺴﺟﺎﳌا ةدﺎﻬﺷ ﻞﻴﻨﻟ ةﺮﻛﺬﻣ

،ﺔﻳدﺎﺼﺘﻗﻻا مﻮﻠﻌﻟاو قﻮﻘﳊا .2006

3 . ،ﻲﺨﻴﺷ ﺪﻤﳏ ﻲﺳﺎﻴﻘﻟا دﺎﺼﺘﻗﻻا قﺮﻃ

: تﺎﻘﻴﺒﻄﺗو تاﺮﺿﺎﳐ ﳊا راد ،ﱃوﻷا ﺔﻌﺒﻄﻟا .

نﺎﻤﻋ ،ﻊﻳزﻮﺘﻟاو ﺮﺸﻨﻠﻟ ﺪﻣﺎ -

ندرﻷا ، 2012 .

ﺔﻴﺒﻨﺟﻷا تﺎﻐﻠﻟﾖ :

1- Akaike, H. (1979), « A Bayesian extension of the minimum AIC procedure », Biometrika, Vol. 66.

2- Bourbonnais, R. (2003), « Econométrie ». 5^e édition. Paris, Dunod, 2003.

3- Bourbonnais, R et Terraza, M. (1998), « Analyse des séries temporelles en économie ». Paris, PUF.

4- Box G.E.P., JenkinsG.M. (1976), “Time series analysis: forecasting and control”, Holdenday.

7

5- Brock, W.A, Dechert, W.D. et Scheinkman, J.A. (1987), “A Test for Independence Based on the Correlation Dimension”, Working Paper, University of Wisconsin.

6- Brockwell, P.J and Davis, R. (1996), “Introduction to time series and forecasting”, Springer-Verlag, 1996.

7- Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root”. Econometrica, 64, 4, 813–836.

8- Engle, R.F. (1982), “Autoregressive conditional heteroscedasticity with estimate of the variance of U.K. inflation ». Econometrica, Vol. 50.

9- Geweke, J and Porter-Hudak, S. (1983), “The Estimation and Application of Long Memory Time Series Models”. Journal of Time Series Analysis, 4(4), 221-238.

10- Gourieroux, C et Monfort, A. (1995), « Séries temporelles et modèles dynamiques, Paris : Economica.

11- Hannan, E.J and Quinn, B.G. (1979), “The determination of the order of an autoregression”. Journal of the Royal Statistical Society Series B, 41,190-195.

12- Hylleberg, S ,.Engle ,R., Granger ,C.W.J & .Yoo ,B.S. (1990),”Seasonal Integration and Cointegration”. Journal of Econometrics, 44(1) , 215-238.

13- Jarque, C.M. and Bera, A.K. (1980), “Testing the normality assumption in limited dependant. variable models”. International Economic Review, Vol. 25, n°3.

14- Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992), “Testing the Null Hypothesis of Stationary Against the Alternative of a Unit Root: How Sure are we that Economic Time Series have a Unit Root?” . Journal of Econometrics, 54, 159-178.

15- Phillips, P.C.B., & Perron, P. (1988), “Testing for Unit Roots in Time Series Regression”, Biometrika, 75, 335-346.

16- Schwarz, G. (1978), “Estimating the dimension of a model”. Annals of Statistics, 6, 461-464.

ﻖﺣﻼﳌا

لوﺪﳉا 1 ﺔﻠﺴﻠﺴﻟ يوﺪﺣﻮﻟا رﺬﳉا تارﺎﺒﺘﺧا ﺞﺋﺎﺘﻧ : ) تﻼﺋﺎﻌﻟا عﺎﻄﻘﻟ ﺔﻬﺟﻮﳌا ءﾖﺮﻬﻜﻟا ﻦﻣ ﺔﻳﺮﻬﺸﻟا تﺎﻌﻴﺒﳌا

(ao

ﺔﻠﺴﻠﺴﻟ

ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا تاذ ﺔﻴﻠﺻﻷا ﺔﻠﺴﻠﺴﻟا رﺎﺒﺘﺧﻻا عﻮﻧ

جذﻮﻤﻨﻟا

2 -30.9343

(-1.9446) 1 جذﻮﻤﻨﻟا -0.6449

(-1.9446) Philips-Perron

جذﻮﻤﻨﻟا

1 0.2606

(0.4630) 1 جذﻮﻤﻨﻟا 0.8792

(0.4630) KPSS

8 جذﻮﻤﻨﻟا

1 12.2179

(3.0708) 2 جذﻮﻤﻨﻟا 1.1905

(3.0736)

Elliott-Rothenberg- Stock

جذﻮﻤﻨﻟا 1 : ﺔﺘﺑﾘ دﻮﺟﻮﺑ جذﻮﳕ

جذﻮﻤﻨﻟا 2 : مﺎﻋ ﻩﺎﲡا ﻻو ﺔﺘﺑﾘ نوﺪﺑ جذﻮﳕ

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ Eviews 10

لوﺪﳉا 2 : ﺔﻘﻳﺮﻄﺑ ﻲﲰﻮﳌا يوﺪﺣﻮﻟا رﺬﳉا رﺎﺒﺘﺧا HEGY

ﻟ ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا تاذ ﺔﻠﺴﻠﺴﻠﻟ تﺎﻌﻴﺒﻤﻠ

ﻦﻣ ﺔﻳﺮﻬﺸﻟا

) تﻼﺋﺎﻌﻟا عﺎﻄﻘﻟ ﺔﻬﺟﻮﳌا ءﾖﺮﻬﻜﻟا dao

(

يﺪﻳﺪﲢ مﺎﻋ ﻩﺎﲡا دﻮﺟو ﻊﻣ جذﻮﻤﻨﻟا ﺔﺘﺑﾘ دﻮﺟﻮﺑ جذﻮﻤﻨﻟا تﺎﻴﺋﺎﺼﺣﻹا -2.7454

(-3.37)

-2.7203 (-2.82) -0.8790

(-1.94)

-2.7203 (-1.94) 0.5747

(3.05)

0.5786 (3.07)

F34

4.1504 (3.05)

4.5494 (3.05)

F56

1.9403 (3.08)

2.2766

(3.09) F78

0.6951 (3.08)

0.7868 (3.09)

F910

3.8070 (3.09)

3.9091 (3.10)

F1112

6.2793 (1.88)

6.3379

(1.89) F1-12

3.8831 (2.30)

4.0683

(2.07) F2-12

ـﻟ ﺔﺟﺮﳊا ﻢﻴﻘﻟا ﻲﻫ ﲔﺳﻮﻗ ﲔﺑ ﱵﻟا ﻢﻴﻘﻟا Franses and Taylor

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ Eviews 10

9

لوﺪﳉا 3 ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻠﻟ ﺔﻴﺋﺎﺼﺣﻹا ﺺﺋﺎﺼﳋا : )

(sdao

ﺔﻴﺋﺎﺼﺣإ Jarque and Bera Skewness

Kurtosis

ﺔﻴﺋﺎﺼﺣإ ARCH-LM

4.8932

) 0.0866 ( -0.0058

4.2597 0.5568

(0.4556)

ﻢﻴﻗ ﻲﻫ ﲔﺳﻮﻗ ﲔﺑ ﱵﻟا ﻢﻴﻘﻟا p-Value

.

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ Eviews 10

لوﺪﳉا 4 ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻠﻟ ﺔﻠﻳﻮﻄﻟا ةﺮﻛاﺬﻟا رﺎﺒﺘﺧا ﺞﺋﺎﺘﻧ : )

sdao (

– يﺮﺴﻜﻟا ﻞﻣﺎﻜﺘﻟا ﻞﻣﺎﻌﻣ ﺮﻳﺪﻘﺗ ARFIMA(0,d,0)

-

Ordinates:

8 .

T0

Bandwidth GPH Rectangul

ar Bartlett Daniell Tukey Parzen B-priest 0.329

(0.6728)

0.3103 (0.4219)

0.3330 (1.0624)

0.3905 (0.4721)

0.3332 (0.8276)

0.3342 (0.7639)

0.3361 (1.1083

) ﺖﻧدﻮﻴﺘﺳ تﺎﻴﺋﺎﺼﺣإ ﻲﻫ (.) ﲔﺳﻮﻗ ﲔﺑ ﱵﻟا ﻢﻴﻘﻟا

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ GAUSS 5.0

لوﺪﳉا 5 ﺔﻴﻟﻼﻘﺘﺳﻻا رﺎﺒﺘﺧا ﺞﺋﺎﺘﻧ : BDS

تﺎﻌﻴﺒﻤﻠﻟ ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻟا ﻰﻠﻋ

p-Value تﺎﯿﺋﺎﺼﺣإ

BDS

m2 3.000785 0.0027

3 5.358596 0.0000

4 8.805826 0.0000

5 10.61005 0.0000

6 12.89369 0.0000

Embedding Dimension :m

:رﺪﺼﳌا ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ

Eviews 10

لوﺪﳉا 6 : ةرﺎﺘﺨﳌا جذﺎﻤﻨﻟا ﲔﺑ ﺔﻧرﺎﻘﳌا –

ﺔﺤﺷﺮﳌا جذﺎﻤﻨﻟا ﲔﺑ ﺔﻠﺿﺎﻔﳌا –

ﺔﻠﺿﺎﻔﳌا رﺎﻴﻌﻣ جذﻮﻤﻨﻟا

30.26^* AIC

(1,1,4)(0,1,0)

= 1, = 4

30.32* BIC

30.29* HQ

30.32 AIC

(0,1,4)(0,1,0)

30.36 BIC = 4

30.34 HQ

30.39 AIC (0,1,2)(0,1,0)

10

30.46 BIC = 1, = 2

30.42 HQ

30.27 AIC

(0,1,4)(0,1,0)

= 1, = 4

30.34 BIC

30.30 HQ

AIC : Akaike Information Criterion, BIC : Bayesian Information Criterion (Schawrz), HQ: Hannan-Quinn Criterion.

.ﱏدﻷا ﺎﻫﺪﺣ ﰲ ﲑﻳﺎﻌﳌا ﻩﺬﻫ نﻮﻜﺗ ﺎﳍﻼﺧ ﻦﻣ ﱵﻟا ﻰﻠﺜﳌا ﻢﻴﻘﻟا ﻦﻋ ﱪﻌﺗ * ﺔﻤﺠﻨﻟﾖ ﺔﻠﺜﻤﳌا ﻢﻴﻘﻟا

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ Eviews 10

لوﺪﳉا 7 ﺔﺳارﺪﻟا ﻞﳏ ﺔﻠﺴﻠﺴﻠﻟ ﻢﺋﻼﳌا جذﻮﻤﻨﻟا ﺮﻳﺪﻘﺗ : SARIMA(1,1,4)(0,1,0)¹²

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ RATS 7.0

لوﺪﳉا 8 جذﻮﳕ ﺮﻳﺪﻘﺗ ﻲﻗاﻮﺑ تارﺎﺒﺘﺧا : SARIMA(1,1,4)(0,1,0)¹²

Skewness Kurtosis Jarque- ﺔﻴﺋﺎﺼﺣإ Bera

ARCH-LM (ARCH(1))

ﺔﻴﺋﺎﺼﺣإ Box-

Pierce (16 lags)

ﺔﻴﺋﺎﺼﺣإ Ljung-

Box (16 lags)

ﺔﻴﺋﺎﺼﺣإ Breusch-

Godfrey

ﺔﻴﺋﺎﺼﺣإ White

0.3062 4.7078 10.0120

) 0.0067

( 1.5459 12.5730

) 0.7037 (

14.2788

) 0.5780 (

4.4342

) 0.1089 (

0.3374 (0.8448) ﻢﻴﻗ ﻲﻫ (.) ﲔﺳﻮﻗ ﲔﺑ ﱵﻟا ﻢﻴﻘﻟا p-Value

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ Eviews 10

11

2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 14,000,000 16,000,000 18,000,000

2006 2007 2008 2009 2010 2011 2012

AO

2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 14,000,000 16,000,000 18,000,000

2006 2007 2008 2009 2010 2011 2012

AO AO_SA

-8,000,000 -6,000,000 -4,000,000 -2,000,000 0 2,000,000 4,000,000 6,000,000 8,000,000

2006 2007 2008 2009 2010 2011 2012

DAO

ا لوﺪﳉ 9 جذﻮﳕ لﺎﻤﻌﺘﺳﾖ ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﺔﻬﺟﻮﳌا ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﲟ ﺆﺒﻨﺘﻟا : SARIMA(1,1,4)(0,1,0)¹²

ﺔﻨﺴﻟا ﺮﻬﺷﻷا ﺔﻌﻗﻮﺘﳌا ﻢﻴﻘﻟا

تﺎﻌﻴﺒﻤﻠﻟ SARIMA(1,1,4)(0,1,0)¹²

ﲑﺴﻟا جذﻮﳕ ﻲﺋاﻮﺸﻌﻟا ﺆﺒﻨﺘﻠﻟ ﺔﻘﺜﻟا تاﱰﻓ

ﺮﻐﺻﻷا ﺪﳊا ﱪﻛﻷا ﺪﳊا

2013 سرﺎﻣ 8412542 6.1057

7.1348 6465940

10359144

ﻞﻳﺮﻓأ 13018837 6.1283

7.4323 10839792

15197882

يﺎﻣ 10346073 6.1902

7.2457 8127152

12564994

ناﻮﺟ 8097016 6.2253

7.4275 5854324

10339709

ﺔﻴﻠﻳﻮﺟ 15759835

7.0742 8.0249

13514896 18004775

توأ 17282206 7.1157

8.1157 15032689

19531724

ﱪﻤﺘﺒﺳ 13546530 7.2007

8.6801 11297009

15796051

ﺮﺑﻮﺘﻛأ 18258210

7.3508 8.7902

16007130 20509290

ﱪﻤﻓﻮﻧ 11509339 7.3803

8.8214 9257937

13760741

ﱪﻤﺴﻳد 8164653 7.4288

8.8993 5912336

10416970

2014 ﻲﻔﻧﺎﺟ

12203962 7.4593

8.9207 9951107

14456817

ﺮﻳاﱪﻓ 10371607 7.6328

9.0041 7594278

13148935

دﻮﻤﻌﻟا 4 و 5 ﻲﺋاﻮﺸﻌﻟا ﲑﺴﻟا جذﻮﳕو حﱰﻘﳌا جذﻮﻤﻨﻟا ﻦﻣ ﻞﻜﻟ ﺆﺒﻨﺘﻟا ﺄﻄﺧ ﻦﻳﺎﺒﺗ ﻢﻴﻗ ﻲﻄﻌﻳ

:رﺪﺼﳌا ﺞﻣﾙﺮﺑ ﻰﻠﻋ دﺎﻤﺘﻋﻻﾖ ﲔﺜﺣﺎﺒﻟا داﺪﻋإ ﻦﻣ GRETL 19

ﻞﻜﺸﻟا 1 : ﺔﻠﺴﻠﺴﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا ﺔﻴﻠﺻﻷا) تﻼﺋﺎﻌﻟا عﺎﻄﻘﻟ ﺔﻬﺟﻮﳌا ءﾖﺮﻬﻜﻟا ﻦﻣ ﺔﻳﺮﻬﺸﻟا تﺎﻌﻴﺒﳌا

ﺔﺒﻛﺮﳌا ﻦﻣ ﺔﺤﺤﺼﳌا ،ao

ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا تاذ ،ﺔﻴﲰﻮﳌا dao

(

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ Eviews 10

12

ﻞﻜﺸﻟا 2 ﺔﻠﺴﻠﺴﻠﻟ ﻲﺋﺰﳉاو ﻂﻴﺴﺒﻟا ﰐاﺬﻟا طﺎﺒﺗرﻻا ﱵﻟاﺪﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا : ﺔﻴﻠﺻﻷا

(ao)

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

ﻞﻜﺸﻟا 3 : ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا تاذ ﺔﻠﺴﻠﺴﻠﻟ ﻲﺋﺰﳉاو ﻂﻴﺴﺒﻟا ﰐاﺬﻟا طﺎﺒﺗرﻻا ﱵﻟاﺪﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا (^dao)

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

ﻞﻜﺸﻟا 4 : تاذ ﺔﻠﺴﻠﺴﻠﻟ ﻲﺋﺰﳉاو ﻂﻴﺴﺒﻟا ﰐاﺬﻟا طﺎﺒﺗرﻻا ﱵﻟاﺪﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟاو ﱃوﻷا ﺔﺟرﺪﻟا ﻦﻣ تﺎﻗوﺮﻔﻟا

12 (^sdao)

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

13

2006 2007 2008 2009 2010 2011 2012

2500000 5000000 7500000 10000000 12500000 15000000 17500000

AOHAT AO

ﻞﻜﺸﻟا 5 : ةﺮﻘﺘﺴﳌا ﺔﻠﺴﻠﺴﻠﻟ ﺔﻴﻔﻴﻄﻟا ﺔﻟاﺪﻠﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا (sdao)

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GAUSS 5.0

ﻞﻜﺸﻟا 6 ﺔﻴﻠﺻﻷا ﺔﻠﺴﻠﺴﻠﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا : (ao)

ةرﺪﻘﳌا ﺔﻠﺴﻠﺴﻟاو (aohat)

:رﺪﺼﳌا

تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

ﻞﻜﺸﻟا 7 رﺪﻘﳌا جذﻮﻤﻨﻟا ﻲﻗاﻮﺑ ﺔﻠﺴﻠﺴﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا : SARIMA(1,1,4)(0,1,0)¹²

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

14

ﻞﻜﺸﻟا 8 : ﱵﻠﺴﻠﺴﻟ ﻲﺋﺰﳉاو ﻂﻴﺴﺒﻟا ﰐاﺬﻟا طﺎﺒﺗرﻻا ﱵﻟاﺪﻟ ﱐﺎﻴﺒﻟا ﻞﻴﺜﻤﺘﻟا ﻲﻗاﻮﺒﻟا تﺎﻌﺑﺮﻣو ﻲﻗاﻮﺒﻟا

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GRETL 19

ﻞﻜﺸﻟا 9 : ﻲﻗاﻮﺒﻟا ﺔﻠﺴﻠﺴﻟ ﻲﻌﻴﺒﻄﻟا ﻊﻳزﻮﺘﻟا ﺔﻓﺎﺜﻛ ﺔﻟاﺪﺑ ﺎﻬﺘﻧرﺎﻘﻣو ﺔﻴﻌﻴﺒﻄﻟا ةاﻮﻨﻟا ﺔﻘﻳﺮﻄﺑ ﺔﻓﺎﺜﻜﻟا ﺔﻟاﺪﻟ ﻲﻤﻠﻌﳌا ﲑﻏ ﺮﻳﺪﻘﺘﻟا

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ GAUSS 5.0

15

2006 2007 2008 2009 2010 2011 2012 2013 2500000

5000000 7500000 10000000 12500000 15000000 17500000 20000000

M A M J J A S O N D J F

2013 5000000

7500000 10000000 12500000 15000000 17500000 20000000 22500000

ﻞﻜﺸﻟا 10 : تﺎﻌﻴﺒﲟ ﺆﺒﻨﺘﻟ ا ﻲﻠﺋﺎﻌﻟا عﺎﻄﻘﻠﻟ ﺔﻬﺟﻮﳌا ءﾖﺮﻬﻜﻟا

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ RATS 7.0

ﻞﻜﺸﻟا 11 : ﺔﻌﻗﻮﺘﳌا ءﾖﺮﻬﻜﻟا تﺎﻌﻴﺒﳌ ﺔﻘﺜﻟا تﻻﺎﳎ ءﺎﻨﺑ

:رﺪﺼﳌا تﺎﺟﺮﳐ ﺞﻣﾙﺮﺑ RATS 7.0