EXPRESSION AND DESIGN A MODEL TO FORECAST THE EXCHANGE RATE SHOCKS AND STRESS TESTING OF THE CURRENCY IN IRAN

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

RAJABI KHANGHAH ABDOLLAH; NIKOUMARAM HASHEM; TAGHAVI MEHDI; RAHNAMA ROUD POSHTI FEREYDOUN; FALLAH SHAMS MIRFEIZ

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2018 | Volume:6 | Issue:24 Page(s): 251-274

Download Full-Text

Persian Verion

View:

690

Download:

Cites:

Information Journal Paper

Title

EXPRESSION AND DESIGN A MODEL TO FORECAST THE EXCHANGE RATE SHOCKS AND STRESS TESTING OF THE CURRENCY IN IRAN

Author(s)

Keywords

EXCHANGE RATE STRESSQ1

MACROECONOMIC VARIABLESQ2

MULTIVARIATE GARCHQ1

CONDITIONAL VALUE AT RISKQ1

Abstract

This paper attempts to Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran. In other words, what factors influence the currency shock and is there the shock predictability in the currency market. On the other hand, are there in critical condition (shock) the ability to predict currency risk through stress tests? The research method is descriptive-analytic and data collection library using econometric regression model using econometric software Eviews is carried out. The research is method in this study (time series modeling). The results suggest that based on estimations made clear that the exchange rate shock predictable feature of the model is capable MGARCH.. In other words, using MULTIVARIATE GARCH model and CONDITIONAL VALUE AT RISK predictability of the exchange rate shock and influence the variable of MACROECONOMIC VARIABLES has been clarified. Finally, using the Back Testing the validity and effectiveness model was estimated and validation tests with stress tests to estimate the shock has been in critical condition.

Cites

No record.

References

No record.

Cite

APA: Copy

RAJABI KHANGHAH, ABDOLLAH, NIKOUMARAM, HASHEM, TAGHAVI, MEHDI, RAHNAMA ROUD POSHTI, FEREYDOUN, & FALLAH SHAMS, MIRFEIZ. (2018). EXPRESSION AND DESIGN A MODEL TO FORECAST THE EXCHANGE RATE SHOCKS AND STRESS TESTING OF THE CURRENCY IN IRAN. INVESTMENT KNOWLEDGE, 6(24 ), 251-274. SID. https://sid.ir/paper/188069/en

Vancouver: Copy

RAJABI KHANGHAH ABDOLLAH, NIKOUMARAM HASHEM, TAGHAVI MEHDI, RAHNAMA ROUD POSHTI FEREYDOUN, FALLAH SHAMS MIRFEIZ. EXPRESSION AND DESIGN A MODEL TO FORECAST THE EXCHANGE RATE SHOCKS AND STRESS TESTING OF THE CURRENCY IN IRAN. INVESTMENT KNOWLEDGE[Internet]. 2018;6(24 ):251-274. Available from: https://sid.ir/paper/188069/en

IEEE: Copy

ABDOLLAH RAJABI KHANGHAH, HASHEM NIKOUMARAM, MEHDI TAGHAVI, FEREYDOUN RAHNAMA ROUD POSHTI, and MIRFEIZ FALLAH SHAMS, “EXPRESSION AND DESIGN A MODEL TO FORECAST THE EXCHANGE RATE SHOCKS AND STRESS TESTING OF THE CURRENCY IN IRAN,” INVESTMENT KNOWLEDGE, vol. 6, no. 24 , pp. 251–274, 2018, [Online]. Available: https://sid.ir/paper/188069/en

Related Journal Papers