Abstract
It is known that the market indices of Saudi Arabia which is called Tadawul All Share Index (TASI) reflect the performance of economic growth and financial stability of Saudi Arabia. Thus, the forecasting of the performance is quite important. In this empirical study, we forecasted daily index prices of TASI for year 2018. To act this, we depended on two models including geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). Further, the calculation of each model was obtained reliant on three different ways of computing volatility including simple volatility, log volatility and stochastic volatility. Meanwhile, the evaluation of the performance of each model was calculated by using mean absolute percentage error (MAPE). The results revealed that all models have high accuracy with trivial difference. This indicates that all models can be used to forecasting the performance of TASI.