THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE

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ALEEMRANN S.A.; ALEEMRAN R.

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2012 | Volume:5 | Issue:14 Page(s): 119-132

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Information Journal Paper

Title

THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE

Author(s)

ALEEMRANN S.A. | ALEEMRAN R. | Issue Writer Certificate

Keywords

STOCK MARKETQ3

VOLATILITYQ4

EGARCH MODELQ4

Abstract

The main objective of this paper is to study the VOLATILITY trend in Tehran’s stock exchange from 1999:03 to 2008:02. This research are looking for answer to this question that, if the Tehran’s stock exchange in the study period had experienced VOLATILITY or not. To quantitative VOLATILITY, EGARCH MODEL is used. The results indicated. The Tehran’s stock exchange is experienced VOLATILITY trend between 1999 to 2008. So as, the most VOLATILITY level (instability) is occurred in 2003:01 and Then The most instability has experienced in 2007:02, but in comparision with VOLATILITY occurred at 2003:01 is less.

Cites

THE IMPACT OF VACCINATION AND TRADE OPENNESS ON CHILD MORTALITY UNDER FIVE

References

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APA: Copy

ALEEMRANN, S.A., & ALEEMRAN, R.. (2012). THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 5(14), 119-132. SID. https://sid.ir/paper/200299/en

Vancouver: Copy

ALEEMRANN S.A., ALEEMRAN R.. THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2012;5(14):119-132. Available from: https://sid.ir/paper/200299/en

IEEE: Copy

S.A. ALEEMRANN, and R. ALEEMRAN, “THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 5, no. 14, pp. 119–132, 2012, [Online]. Available: https://sid.ir/paper/200299/en

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