Unit root tests with application to time series data related to the Qatar Financial Market index price (applied study)

Abstract

This study aims to explore the evolution of the Qatar Financial Market index price by using unit root tests and structural unit root tests. The results show that the analysis of structural shocks using the GARCH(1.1) model remains valid, particularly since the data is daily for the Qatar Financial Market index, yielding somewhat satisfactory results. However, we decided to analyze the structural changes based on the dummy variable for the blockade (DUMMY). A value of 0 was assigned from 04-01-2010 to 04-01-2017, and a value of 1 was assigned from 05-01-2017 to 04-01-2021. As for the period from 05-01-2021 to 13-10-2023, the results provided clearer insights into the evolution of the series and identified structural changes in 2017.