Publisher of Iranian Journals and Conference Proceedings

Please waite ..
Publisher of Iranian Journals and Conference Proceedings
Login |Register |Help |عضویت کتابخانه ها
Paper
Title

Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH

فصلنامه پیشرفتهایی در ریاضیات مالی و کاربردها، دوره: 3، شماره: 2
Year: 1397
COI: JR_AMFA-3-2_002
Language: EnglishView: 33
This Paper With 14 Page And PDF Format Ready To Download

Buy and Download

با استفاده از پرداخت اینترنتی بسیار سریع و ساده می توانید اصل این Paper را که دارای 14 صفحه است به صورت فایل PDF در اختیار داشته باشید.
آدرس ایمیل خود را در کادر زیر وارد نمایید:

Authors

Hossein Panahian - Department Of Accounting , Kashan Branch , Islamic Azad University , Kashan , Iran
Seyed Reza Ghazi Fini - Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran

Abstract:

Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the benefit of high process accuracy, suggesting that the evaluation of the similarity in the volatility of return at the level of market or industry constituent units is better than the simple technique of time series GARCH model for the entire market (instead of evaluation at unit levels). Therefore, the present study intends to investigate complete similarities or differences in the volatility of return in Iran's industries. Results showed that the assumption of complete difference in the volatility of return in the industries did not hold. The results of this process for Iran's industries covering the timespan between ۱۶/۲/۲۰۱۳ to ۱۸/۳/۲۰۱۷ showed that there are similarities in terms of the y-intercept of conditional mean and variance equations (۱.۱) PANEL-GARCH between the volatility of stock returns of ۲۳ industries in the Tehran Stock Exchange as confirmed by LRT test. 

Keywords:

Paper COI Code

This Paper COI Code is JR_AMFA-3-2_002. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/1278726/

How to Cite to This Paper:

If you want to refer to this Paper in your research work, you can simply use the following phrase in the resources section:
Panahian, Hossein and Ghazi Fini, Seyed Reza,1397,Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH,https://civilica.com/doc/1278726

مراجع و منابع این Paper:

لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :

  • Apergis, N., Inflation uncertainty and growth: Evidence from panel data. ...
  • Babaei, A., Investigating volatility of stock return in Tehran Stock ...
  • Bekaert, G., and Harvey, C.R., Emerging equity market volatility. Journal ...
  • Bildirici, M, and Ersin, O.O., Improving forecasts of GARCH family ...
  • Bollerslev, T., Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, ۱۹۸۶, ...
  • Cameron, A.C., Trivedi, P.K., Micro econometrics methods and applications. Cambridge ...
  • Ceremeno, R., and Grier, K., Modelling GARCH processes in panel ...
  • Engle. R. F., Autoregressive conditional heteroscedasticity with estimates of the ...
  • Hsiao C., Analysis of panel data. Th۳edn, America: Cambridge University ...
  • Im, K.S., Pesaran, M.H., and Shin, Y., Testing for unit ...
  • Keshavarz Haddad, Gh., Econometry of Micro data statistics and policy ...
  • Keshavarz Haddad, Gh., Babaei, A., Modeling the volatility of cash ...
  • Kovacic, Z., Forecasting volatility: Evidence from the Macedonian stock exchange. ...
  • Leroy, S. F, Porter R. D., The present value relation: ...
  • Pan, H., Zhang Z., Forecasting financial volatility: Evidence from Chine’s ...
  • Rostami, M.R., Moghaddasi Bayat, M., and Maghami, R., Analysis of ...
  • Saeedi, H., Mohammadi, Sh., Forecasting fluctuations of market returns using ...
  • Tsay R.S., Analysis of financial time series. ۳th edn, Canada: ...

Research Info Management

Certificate | Report | من نویسنده این مقاله هستم

اطلاعات استنادی این Paper را به نرم افزارهای مدیریت اطلاعات علمی و استنادی ارسال نمایید و در تحقیقات خود از آن استفاده نمایید.

Scientometrics

The specifications of the publisher center of this Paper are as follows:
Type of center: Azad University
Paper count: 1,565
In the scientometrics section of CIVILICA, you can see the scientific ranking of the Iranian academic and research centers based on the statistics of indexed articles.

Share this page

More information about COI

COI stands for "CIVILICA Object Identifier". COI is the unique code assigned to articles of Iranian conferences and journals when indexing on the CIVILICA citation database.

The COI is the national code of documents indexed in CIVILICA and is a unique and permanent code. it can always be cited and tracked and assumed as registration confirmation ID.

Support