LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH)

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ABOU NOURI E.; TEHRANCHIAN A.M.; HAMZEI M.

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

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Journal: Journal of Economic Modelling Year:2012 | Volume:6 | Issue:2 (18) Page(s): 1-19

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Title

LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH)

Author(s)

ABOU NOURI E. | TEHRANCHIAN A.M. | HAMZEI M. | Issue Writer Certificate

Keywords

EXCHANGE RATEQ2

INDUSTRY INDEXQ2

MGARCHQ1

VOLATILITY SPILLOVERSQ2

STOCK EXCHANGE MARKETQ2

Abstract

This paper, empirically, analyzes dynamic relationship between real effective EXCHANGE RATE and industrial index in Tehran STOCK EXCHANGE MARKET using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real EXCHANGE RATE and INDUSTRY INDEX. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional VOLATILITY SPILLOVERS effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa.

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APA: Copy

ABOU NOURI, E., TEHRANCHIAN, A.M., & HAMZEI, M.. (2012). LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH). ECONOMIC MODELLING, 6(2 (18)), 1-19. SID. https://sid.ir/paper/176327/en

Vancouver: Copy

ABOU NOURI E., TEHRANCHIAN A.M., HAMZEI M.. LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH). ECONOMIC MODELLING[Internet]. 2012;6(2 (18)):1-19. Available from: https://sid.ir/paper/176327/en

IEEE: Copy

E. ABOU NOURI, A.M. TEHRANCHIAN, and M. HAMZEI, “LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH),” ECONOMIC MODELLING, vol. 6, no. 2 (18), pp. 1–19, 2012, [Online]. Available: https://sid.ir/paper/176327/en

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