The Systematic Risk at the Crisis—A Multifractal Non-Uniform Wavelet Systematic Risk Estimation

In the last decade, many factors, such as socio-political and econo-environmental ones, have led to a perturbation in timeline of worldwide development, especially countries regions having political changes. This us introduce new idea risk estimation taking into account non-uniform changes markets by introducing wavelet analysis. We aim explain econo-political situation Arab spring effect revolutions on market beta. The main novelty is first construction dynamic backward-forward model for missing data, next application random wavelets. proposed procedure will be acted empirically sample corresponding TUNINDEX stock representative index Tunisian actively traded over period from 14 January 2016 13 2021. chosen 5-year important it constitutes five years after revolution depends strongly socio-econo-political stability revolutionary countries. results showed efficiency wavelets explaining dynamics well. They therefore may good tools explore phenomena non-stationary aspect financial series, non-constancy, time-varying parameters. These facts turn positive implications investors well politicians front evolution market. Besides, recommendations extend present method other types interest.