EXCHANGE BY USING GLS & GARCH APPROACHES

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SAEEDI ALI; ALI MOHAMMADI SH.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 41-56

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Title

EXCHANGE BY USING GLS & GARCH APPROACHES

Author(s)

SAEEDI ALI | ALI MOHAMMADI SH. | Issue Writer Certificate

Keywords

FUTURES CONTRACTQ1

FUTURES MARKETQ2

ARBITRAGEQ2

Abstract

In recent years, future contract markets and options contract in financial and investment world have become much more important and these markets reached to a level of financial innovation that it is necessary for every expert in financial affairs have to be aware that how these markets work.This paper, investigates the effective factors on Future Contracts Price Fluctuation in IRAN Merchandise Exchange by using GLS & GARCH approaches. In this paper we used Esfand of 1390 future contract as symbol of Future Contracts in IRAN Merchandise Exchange and between the effective factors on Future Contract Price Fluctuation we chose the world price of gold, total index of exchange, the equality rate of dollar and Rial. The statistic society of investigation is IRAN Merchandise Exchange that future contract of Esfand 1390 with 178 working days have chosen.Our approach is econometric and using Generalized Auto Regressive conditional heteroskedasticity (GARCH) and Generalized Least Squares (GLS).As we saw in this paper there is a positive relation between the equality rate of dollar and Rial and Future Contract Price Fluctuation that means with increasing of equality rate of dollar and Rial the Future Contract Price will increase and also it is true about the world price of gold but as we saw it didn’t approve about total index of exchange.

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APA: Copy

SAEEDI, ALI, & ALI MOHAMMADI, SH.. (2014). EXCHANGE BY USING GLS & GARCH APPROACHES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 41-56. SID. https://sid.ir/paper/197746/en

Vancouver: Copy

SAEEDI ALI, ALI MOHAMMADI SH.. EXCHANGE BY USING GLS & GARCH APPROACHES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):41-56. Available from: https://sid.ir/paper/197746/en

IEEE: Copy

ALI SAEEDI, and SH. ALI MOHAMMADI, “EXCHANGE BY USING GLS & GARCH APPROACHES,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 41–56, 2014, [Online]. Available: https://sid.ir/paper/197746/en

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