MODELING VOLATILITY OF DAILY TEHRAN PRICE INDEX (TEPIX)

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TAKROOSTA ALI; MOROVAT HABIB; TAKROOSTA HOSSEIN

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Journal: Monetary and Financial Economics Year:2012 | Volume:18 | Issue:2 Page(s): 61-84

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Title

MODELING VOLATILITY OF DAILY TEHRAN PRICE INDEX (TEPIX)

Author(s)

TAKROOSTA ALI | MOROVAT HABIB | TAKROOSTA HOSSEIN | Issue Writer Certificate

Keywords

VOLATILITYQ2

GARCH MODELSQ2

STOCK RETURNQ2

MEAN REVERTINGQ2

PERSISTENCEQ2

LEVERAGE EFFECTQ2

Abstract

Importance of risk and uncertainty in financial markets became more apparent after financial crisis in 2007. VOLATILITY is the most important measure of risk in financial markets. Thus, modeling VOLATILITY of financial markets is one of the important issues in finance and economics. In this paper first we tried to specify key features of VOLATILITY of daily returns of Tehran stock exchange price index (TEPIX) and then using these features, we modeled VOLATILITY of this index.We found that this index is fat-tailed distributed and mean- reverting. Furthermore, we showed that there is no LEVERAGE EFFECT, so using of TARCH and EGARCH models are not convenient. Finally, we found that AR (2)- GARCH (1,1) Model can capture features of data in the best way.

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APA: Copy

TAKROOSTA, ALI, MOROVAT, HABIB, & TAKROOSTA, HOSSEIN. (2012). MODELING VOLATILITY OF DAILY TEHRAN PRICE INDEX (TEPIX). JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 18(2), 61-84. SID. https://sid.ir/paper/382285/en

Vancouver: Copy

TAKROOSTA ALI, MOROVAT HABIB, TAKROOSTA HOSSEIN. MODELING VOLATILITY OF DAILY TEHRAN PRICE INDEX (TEPIX). JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2012;18(2):61-84. Available from: https://sid.ir/paper/382285/en

IEEE: Copy

ALI TAKROOSTA, HABIB MOROVAT, and HOSSEIN TAKROOSTA, “MODELING VOLATILITY OF DAILY TEHRAN PRICE INDEX (TEPIX),” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 18, no. 2, pp. 61–84, 2012, [Online]. Available: https://sid.ir/paper/382285/en

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