Study of Shock and Volatility Spillovers among Selected Indices of the Tehran Stock Exchange Using Asymmetric BEKK-GARCH Model

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.

Hosseni Ebrahimabad S.A.; JAHANGIRI KH.; Hasan Heydari H.; GHAEMI ASL M.

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

Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2019 | Volume:8 | Issue:29 Page(s): 123-155

Download Full-Text

Persian Verion

View:

248

Download:

Cites:

Information Journal Paper

Title

Study of Shock and Volatility Spillovers among Selected Indices of the Tehran Stock Exchange Using Asymmetric BEKK-GARCH Model

Author(s)

Hosseni Ebrahimabad S.A. | JAHANGIRI KH. | Hasan Heydari H. | GHAEMI ASL M. | Issue Writer Certificate

Keywords

SpilloversQ1

ShockQ2

VolatilityQ2

Selected Indices of the Tehran Stock ExchangeQ1

Asymmetric BEKK-GARCH ModelQ1

Abstract

The main objective of this study is to investigate Shock Spillovers and Volatility over the selected indexes of Tehran Stock Exchange including the automotive and parts manufacturing group, banking group and oil products group in the period of 13th December, 2008 to 21th November, 2017. In order to that, MS-VAR model and Asymmetric BEKK have used. The results showed evidence of standard leverage in both regimes, as The results in the zero-order regime indicate the interaction of the Shocks and volatilities of each group on the Shocks and volatilities of other groups, and the past volatilities of each group relative to the past Shocks of that group contributed to the current Volatility of that group in the zero-order regime. The results in first regime also showed that the news of the oil products group did not have any significant effect on the Volatility of the automobile group, and vice versa. While Shocks transferring between banking groups and petroleum refineries, and between automobile group and banking groups are two-way. Also, the Volatility of the banking group affects the Volatility of the oil products group and Volatility Spillovers between petroleum product groups and automobile group is one-way.

Cites

No record.

References

No record.

Cite

APA: Copy

Hosseni Ebrahimabad, S.A., JAHANGIRI, KH., Hasan Heydari, H., & GHAEMI ASL, M.. (2019). Study of Shock and Volatility Spillovers among Selected Indices of the Tehran Stock Exchange Using Asymmetric BEKK-GARCH Model. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 8(29 ), 123-155. SID. https://sid.ir/paper/387030/en

Vancouver: Copy

Hosseni Ebrahimabad S.A., JAHANGIRI KH., Hasan Heydari H., GHAEMI ASL M.. Study of Shock and Volatility Spillovers among Selected Indices of the Tehran Stock Exchange Using Asymmetric BEKK-GARCH Model. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2019;8(29 ):123-155. Available from: https://sid.ir/paper/387030/en

IEEE: Copy

S.A. Hosseni Ebrahimabad, KH. JAHANGIRI, H. Hasan Heydari, and M. GHAEMI ASL, “Study of Shock and Volatility Spillovers among Selected Indices of the Tehran Stock Exchange Using Asymmetric BEKK-GARCH Model,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 8, no. 29 , pp. 123–155, 2019, [Online]. Available: https://sid.ir/paper/387030/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops