VOLATILITY AND RETURN TRANSMISSION AMONG CEMENT INDUSTRY STOCK PRICES: AN APPLICATION OF MULTIVARIATE FIGARCH MODELING IN HIGH FREQUENCY FINANCIAL TIME SERIES

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.

KESHAVARZ HADDAD GHOLAMREZA; EBRAHIMI SEYED BABAK; JAFAR ABADI AKBAR

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

Journal Paper

Paper Information

Journal: Iranian Journal of Economic Research Year:2011 | Volume:16 | Issue:47 Page(s): 129-162

Download Full-Text

Persian Verion

View:

1,531

Download:

Cites:

Information Journal Paper

Title

VOLATILITY AND RETURN TRANSMISSION AMONG CEMENT INDUSTRY STOCK PRICES: AN APPLICATION OF MULTIVARIATE FIGARCH MODELING IN HIGH FREQUENCY FINANCIAL TIME SERIES

Author(s)

KESHAVARZ HADDAD GHOLAMREZA | EBRAHIMI SEYED BABAK | JAFAR ABADI AKBAR | Issue Writer Certificate

Keywords

RETURNQ2

VOLATILITYQ2

LONG MEMORYQ2

MULTIVARIATE FIGARCHQ2

Abstract

Long memory in asset RETURNs and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with LONG MEMORY is the ARFIMA-FIGARCH, but this fractionality in the integration of time series modeling has not been extended to the Multivariate GARCH models yet. The present paper aims to extend the BEKK’s MGARCH models to take into account the presence of LONG MEMORY in daily financial time series. Although the proposed procedure is highly non-linear in the fractionality parameters with a serious computational burden, it estimates all the parameters of mean and variance equations in a nonlinear framework and finds a unique solution, by numerical optimization procedures. In the empirical part of the paper a MULTIVARIATE FIGARCH is used to check the transmission of VOLATILITY among the automobile industry, machinery leasing and equipment indices in the Tehran Stock Exchange. The results confirm the existence of short memory in both conditional means and conditional variances, and moreover the magnitude of estimated d parameter is remarkably different from those of resulted from GPH and single ARFIMA-FIGARCH. Empirical findings of the MFIGARCH specification were compared with those of BEKK, and the comparison shows that MFIGARCH estimations are consistent with theoretical considerations. Moreover, our findings confirm the presence of lead and lag effects and information flow between the RETURNs and volatilities of automobile industries and machinery leasing stock prices, and a multilateral information transmission from machinery leasing’s stock towards the Auto industry and machinery parts manufacturing share prices is observed.

Cites

NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES

References

Cite

APA: Copy

KESHAVARZ HADDAD, GHOLAMREZA, EBRAHIMI, SEYED BABAK, & JAFAR ABADI, AKBAR. (2011). VOLATILITY AND RETURN TRANSMISSION AMONG CEMENT INDUSTRY STOCK PRICES: AN APPLICATION OF MULTIVARIATE FIGARCH MODELING IN HIGH FREQUENCY FINANCIAL TIME SERIES. IRANIAN ECONOMIC RESEARCH, 16(47), 129-162. SID. https://sid.ir/paper/2799/en

Vancouver: Copy

KESHAVARZ HADDAD GHOLAMREZA, EBRAHIMI SEYED BABAK, JAFAR ABADI AKBAR. VOLATILITY AND RETURN TRANSMISSION AMONG CEMENT INDUSTRY STOCK PRICES: AN APPLICATION OF MULTIVARIATE FIGARCH MODELING IN HIGH FREQUENCY FINANCIAL TIME SERIES. IRANIAN ECONOMIC RESEARCH[Internet]. 2011;16(47):129-162. Available from: https://sid.ir/paper/2799/en

IEEE: Copy

GHOLAMREZA KESHAVARZ HADDAD, SEYED BABAK EBRAHIMI, and AKBAR JAFAR ABADI, “VOLATILITY AND RETURN TRANSMISSION AMONG CEMENT INDUSTRY STOCK PRICES: AN APPLICATION OF MULTIVARIATE FIGARCH MODELING IN HIGH FREQUENCY FINANCIAL TIME SERIES,” IRANIAN ECONOMIC RESEARCH, vol. 16, no. 47, pp. 129–162, 2011, [Online]. Available: https://sid.ir/paper/2799/en

Related Journal Papers