DEVELOPMENT OF A NEW MODEL TO MEASURE THE MARKET RISK OF THE FOOD AND PHARMACEUTICAL INDUSTRIES: GARCH- MARKOV CONSOLIDATED MODELS

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ZOLFAGHARI MAHDI; SAHABI BAHRAM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Journal of Quantitative Economics Year:2015 | Volume:11 | Issue:4 (43) Page(s): 79-111

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Title

DEVELOPMENT OF A NEW MODEL TO MEASURE THE MARKET RISK OF THE FOOD AND PHARMACEUTICAL INDUSTRIES: GARCH- MARKOV CONSOLIDATED MODELS

Author(s)

ZOLFAGHARI MAHDI | SAHABI BAHRAM | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

MARKOV CHAIN PROCESSQ2

FOOD AND PHARMACEUTICAL INDUSTRIESQ2

Abstract

Today, the FOOD AND PHARMACEUTICAL INDUSTRIES are of the most advantageous industries in the economy of Iran. Thus, investing in these industries is beneficial. However, investing is possible either directly or indirectly; i.e. through stock markets. Having enough information about the level of stock price of the active firms in this field is an important prerequisite. In this paper, employing GARCH- Markov Consolidated models, we have proposed a comprehensive mechanism to measure the stock market risk for FOOD AND PHARMACEUTICAL INDUSTRIES by using daily data during the period of 2009 to 22.08.2015. Results show that economic return of the sugar and drugs industries follows the regime transfers with an asymmetrical structure based on abnormal distributions. Furthermore, the risks for medicine industries are lower than food and sugar industries.

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