Asymmetric effects of volatility in Iran and UAE stock marke

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Abouoori Esmaiel; Noferesti Mohammd; Tour Mansour

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

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 57-75

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Title

Asymmetric effects of volatility in Iran and UAE stock marke

Author(s)

Abouoori Esmaiel | Noferesti Mohammd | Tour Mansour | Issue Writer Certificate

Keywords

Asymmetric effects of volatility in Iran and UAE stock markeQ1

Abstract

Choosing the right model to correctly forecasting volatility in these markets is very important. In this research, with a new approach in order to test the asymmetric volatility effects, the asymmetric conditional variance section (asymmetric volatility) was added to Bollerslev GARCH (1. 1) model (1986). Then, using the weekly index information of the Iran and UAE stock market from December 15, 2008 until April 10, 2017 were estimated separately. Based on the results, the existence of asymmetric effects of increasing and decreasing volatility of the previous period on the current volatility of stock returns was confirmed in the UAE stock market and these asymmetric effects were not accepted in Iran stock market. In order to evaluate and compare the forecasting accuracy of the asymmetric GARCH model in volatility and a the symmetric GARCH model in the UAE stock market, "Root Mean Square Error Index" and "Theil Inequality Index" were calculated for these two models. Both indicators confirm the relative superiority of the asymmetric GARCH model over the symmetric model in this market. Therefore, the asymmetric model is the appropriate model to forecast volatility in the UAE stock market.

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APA: Copy

Abouoori, Esmaiel, Noferesti, Mohammd, & Tour, Mansour. (2020). Asymmetric effects of volatility in Iran and UAE stock marke. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 57-75. SID. https://sid.ir/paper/371867/en

Vancouver: Copy

Abouoori Esmaiel, Noferesti Mohammd, Tour Mansour. Asymmetric effects of volatility in Iran and UAE stock marke. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):57-75. Available from: https://sid.ir/paper/371867/en

IEEE: Copy

Esmaiel Abouoori, Mohammd Noferesti, and Mansour Tour, “Asymmetric effects of volatility in Iran and UAE stock marke,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 57–75, 2020, [Online]. Available: https://sid.ir/paper/371867/en

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