CHANGING IN THE VOLATILITIES OF IRAN MICROSTRUCTURE MARKET BY BARJAM

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JALA PARINAZ

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:36 Page(s): 75-98

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Title

CHANGING IN THE VOLATILITIES OF IRAN MICROSTRUCTURE MARKET BY BARJAM

Author(s)

JALA PARINAZ | Issue Writer Certificate

Keywords

MICROSTRUCTURE NOISEQ1

BARJAMQ1

VOLATILITYQ2

PRE-AVERAGINGQ1

JUMPQ1

Abstract

In the recent years, high frequency trading is becoming more popular among financial analysts in Iran. To analyze these data need special methods because of MICROSTRUCTURE NOISE effect. In this study, the goal is assessment of realized volatilities according to the BARJAM effect from May to October in 2014 and 2016. This study uses the information about crucial Iran indices: Total index, Bank, Oil Industry Investment, Petrochemical Industry Investment and Automobile Industry indices. To estimate Integrated Matrix using “Pre-averaging” because this approach is able to control the effect of MICROSTRUCTURE NOISE and, “Hayashi-Yoshida” is used to synchronization among indices. Moreover, the price JUMPs are removed to get more accurate estimator. The study of daily volatilities and their comparison show a positive effect of BARJAM on Total index, Bank and Oil Industry Investment, but there is not noticeable influence in Automobile Industry and Petrochemical Industry Investment. Finally, time series is modeled to forecast the VOLATILITY of indices in a short term.

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APA: Copy

JALA, PARINAZ. (2018). CHANGING IN THE VOLATILITIES OF IRAN MICROSTRUCTURE MARKET BY BARJAM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(36 ), 75-98. SID. https://sid.ir/paper/197538/en

Vancouver: Copy

JALA PARINAZ. CHANGING IN THE VOLATILITIES OF IRAN MICROSTRUCTURE MARKET BY BARJAM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(36 ):75-98. Available from: https://sid.ir/paper/197538/en

IEEE: Copy

PARINAZ JALA, “CHANGING IN THE VOLATILITIES OF IRAN MICROSTRUCTURE MARKET BY BARJAM,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 36 , pp. 75–98, 2018, [Online]. Available: https://sid.ir/paper/197538/en

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