Volume 10, Issue 3, March 2015, Pages 891–902
Accounting, Economics and Financial Management Conference (AEFMC 2014), Iran 26-27 October 2014
Dr. Reza Tehrani1, Azar Hamidi2, Amir Khanali Pour3, and Samaneh Nikookar4
1 Department of Management, University Of Tehran, Tehran, Tehran, Iran
2 Department of Management, University Of Tehran, Tehran, Tehran, Iran
3 Department Of Ecomonics, University of Mazandaran, Tehran, Tehran, Iran
4 Department Of Ecomonics, University of Mazandaran, Tehran, Tehran, Iran
Original language: English
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
considering the importance of financial markets and especially the stock market in financing support of companies, and the role and importance of volatility in the stock market, also the occurrence of numerous financial crises in the world economic environment and the probable impact of crises in the stock market, this research take the volatility modeling and its prediction, also the impact of financial crisis as the main issue on the stock market. So the research seeks to answer these questions to either return volatility Tehran Stock Exchange price index structure has been broken? And whether the prediction power of the GARCH models increase with regard to the structural?
Therefore, using daily data of 05.01.2008 to 31.03.2014 and the ICSS algorithm First the days that the volatility pattern of structural failure have been round were identified. Then, to estimate the amount of the likely impact of the identified failure of the volatility pattern, on the number of virtual variable failure D 10
Author Keywords: Structural failure, modeling and forecasting, returns and volatility, ICSS, AFRIMA-FIGARCH.
Accounting, Economics and Financial Management Conference (AEFMC 2014), Iran 26-27 October 2014
Dr. Reza Tehrani1, Azar Hamidi2, Amir Khanali Pour3, and Samaneh Nikookar4
1 Department of Management, University Of Tehran, Tehran, Tehran, Iran
2 Department of Management, University Of Tehran, Tehran, Tehran, Iran
3 Department Of Ecomonics, University of Mazandaran, Tehran, Tehran, Iran
4 Department Of Ecomonics, University of Mazandaran, Tehran, Tehran, Iran
Original language: English
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
considering the importance of financial markets and especially the stock market in financing support of companies, and the role and importance of volatility in the stock market, also the occurrence of numerous financial crises in the world economic environment and the probable impact of crises in the stock market, this research take the volatility modeling and its prediction, also the impact of financial crisis as the main issue on the stock market. So the research seeks to answer these questions to either return volatility Tehran Stock Exchange price index structure has been broken? And whether the prediction power of the GARCH models increase with regard to the structural?
Therefore, using daily data of 05.01.2008 to 31.03.2014 and the ICSS algorithm First the days that the volatility pattern of structural failure have been round were identified. Then, to estimate the amount of the likely impact of the identified failure of the volatility pattern, on the number of virtual variable failure D 10
Author Keywords: Structural failure, modeling and forecasting, returns and volatility, ICSS, AFRIMA-FIGARCH.
How to Cite this Article
Dr. Reza Tehrani, Azar Hamidi, Amir Khanali Pour, and Samaneh Nikookar, “Structural Failure, Modelling and Forecasting of Stock Return Volatility by GARCH Models (Case Study: Tehran Stock Exchange),” International Journal of Innovation and Applied Studies, vol. 10, no. 3, pp. 891–902, March 2015.
