TIME SERIES MODELING OF VOLATILITY FORECASTING IN THE RETURN OF TEHRAN CEMENT SHARE PRICE

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KESHAVARZ HADAD GH.R.; ESMAEILZADEH MOUSA

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Journal: Journal of Economic Research Year:2010 | Volume:45 | Issue:91 Page(s): 141-176

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Title

TIME SERIES MODELING OF VOLATILITY FORECASTING IN THE RETURN OF TEHRAN CEMENT SHARE PRICE

Author(s)

KESHAVARZ HADAD GH.R. | ESMAEILZADEH MOUSA | Issue Writer Certificate

Keywords

TIME SERIES MODELINGQ3

RETURNSQ3

VOLATILITY FORECASTINGQ3

ARMAARCHQ3

LEVERAGE EFFECTSQ3

TEHRAN STOCK MARKETQ3

Abstract

Investing in stock markets usually is involved in more risks than the bounds and bank deposits. It is expected that resulting RETURNS (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. Therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. Sum squares of weekly RETURNS provide an unbiased measure for realized volatility. In this paper, RETURNS are modeled by an ARIMA process, and volatility is modeled by ARIMA_XRL, ARMA-SCRL, GARCH, GARCH_C and a Risk_Metric processes. The main propose of present research is the estimation and forecasting of volatility in the weekly RETURNS of Tehran Cement Company' share during 1381/01/03 to 1385/07/26. Our models consist of LEVERAGE EFFECTS, Lagged RETURNS Effects, and also Structural Breaks. Our findings confirm, among all the techniques, that the accuracy of ARIMA-SCRL process in volatility modeling is considerable. Furthermore it was resulted that, bad and good news are of symmetric LEVERAGE EFFECTS on the return of Tehran cement share price.

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APA: Copy

KESHAVARZ HADAD, GH.R., & ESMAEILZADEH, MOUSA. (2010). TIME SERIES MODELING OF VOLATILITY FORECASTING IN THE RETURN OF TEHRAN CEMENT SHARE PRICE. TAHGHIGHAT-E-EGHTESADI, 45(91), 141-176. SID. https://sid.ir/paper/11897/en

Vancouver: Copy

KESHAVARZ HADAD GH.R., ESMAEILZADEH MOUSA. TIME SERIES MODELING OF VOLATILITY FORECASTING IN THE RETURN OF TEHRAN CEMENT SHARE PRICE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2010;45(91):141-176. Available from: https://sid.ir/paper/11897/en

IEEE: Copy

GH.R. KESHAVARZ HADAD, and MOUSA ESMAEILZADEH, “TIME SERIES MODELING OF VOLATILITY FORECASTING IN THE RETURN OF TEHRAN CEMENT SHARE PRICE,” TAHGHIGHAT-E-EGHTESADI, vol. 45, no. 91, pp. 141–176, 2010, [Online]. Available: https://sid.ir/paper/11897/en

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