Forcasting and Modeling Stock Returns Volatility in Tehran Stock Exchange Using GARCH Models

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GHAZI FINI SEYED REZA; PANAHIAN HOSSEIN

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

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Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2019 | Volume:11 | Issue:43 Page(s): 55-70

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Title

Forcasting and Modeling Stock Returns Volatility in Tehran Stock Exchange Using GARCH Models

Author(s)

GHAZI FINI SEYED REZA | PANAHIAN HOSSEIN | Issue Writer Certificate

Keywords

GARCH ModelsQ1

VolatilityQ1

Stock ReturnsQ2

Abstract

The present study aim is modeling and comparing predictive power of GARCH Models in forcasting Stock Returns Volatility in Tehran Stock Exchange. Therefore was selected time period from 03/20/2009 to 03/19/2017 based daily returns of total price index (TEPIX) including 1900 observation and reviewed GARCH, EGARCH, PGARCH, GJR, GARCH-M, FIGARCH and FIEGARCH Models with time series approach and under the normal distribution assumption and evaluated Predictive performance of those models based Mean Squared Error (MSE), Median Squared Error (MedSE), Mean Absolute Error Statistic (MAE), Root Mean Square Error (RMSE) and Theil Inequality Coefficient (TIC) measures. The results showed the FIGARCH Models have least error In terms of three criteria MSE, MAE and RMSE Which shows the Fitness of this model is better than all other models to predict the Volatility of Stock Returns. It was also found that returns of the total stock price index (TEPIX) have cluster volatilities which means that with low fluctuations, have small Volatility in subsequent periods and severe Volatility with high fluctuations.

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APA: Copy

GHAZI FINI, SEYED REZA, & PANAHIAN, HOSSEIN. (2019). Forcasting and Modeling Stock Returns Volatility in Tehran Stock Exchange Using GARCH Models. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 11(43 ), 55-70. SID. https://sid.ir/paper/372226/en

Vancouver: Copy

GHAZI FINI SEYED REZA, PANAHIAN HOSSEIN. Forcasting and Modeling Stock Returns Volatility in Tehran Stock Exchange Using GARCH Models. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2019;11(43 ):55-70. Available from: https://sid.ir/paper/372226/en

IEEE: Copy

SEYED REZA GHAZI FINI, and HOSSEIN PANAHIAN, “Forcasting and Modeling Stock Returns Volatility in Tehran Stock Exchange Using GARCH Models,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 11, no. 43 , pp. 55–70, 2019, [Online]. Available: https://sid.ir/paper/372226/en

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