Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index

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REZAEIAN ALI; VAKILIFARD HAMIDREZA; KHALILI ARAGHI MARYAM; Rahnamaye Roodposhti Freydoon

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2019 | Volume:9 | Issue:3 (27) Page(s): 29-50

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Title

Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index

Author(s)

REZAEIAN ALI | VAKILIFARD HAMIDREZA | KHALILI ARAGHI MARYAM | Rahnamaye Roodposhti Freydoon | Issue Writer Certificate

Keywords

Extreme Value TheoryQ1

Management of Market RiskQ1

Daily Extreme ReturnsQ1

Abstract

Study of the Extreme behavior of the Stock Market and the correct pattern of the distribution of returns has an important role in the Management of Market Risk. The current study, based on BMM approach, examines the distribution pattern of return in Tehran Stock Exchange in different time intervals. In order to choose the appropriate model in different time series, L-Moment ratio diagram was used. Then, by using the calculation of parameters of the selected models based on the approach of Maximum likelihood, the conformity and selection of appropriate model in each time interval was performed based on AD test. To model the distribution of patterns of total market returns, the total stock index data of 2004-2016 was used and the basis of the performed calculation has the log of daily return of Tehran stock exchange. The results indicated that among the examined model, GL model in annual time interval and in minimum series, and GEV model in other time intervals of minimum and maximum series had a better performance.

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APA: Copy

REZAEIAN, ALI, VAKILIFARD, HAMIDREZA, KHALILI ARAGHI, MARYAM, & Rahnamaye Roodposhti, Freydoon. (2019). Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 9(3 (27) ), 29-50. SID. https://sid.ir/paper/387201/en

Vancouver: Copy

REZAEIAN ALI, VAKILIFARD HAMIDREZA, KHALILI ARAGHI MARYAM, Rahnamaye Roodposhti Freydoon. Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2019;9(3 (27) ):29-50. Available from: https://sid.ir/paper/387201/en

IEEE: Copy

ALI REZAEIAN, HAMIDREZA VAKILIFARD, MARYAM KHALILI ARAGHI, and Freydoon Rahnamaye Roodposhti, “Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index,” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 9, no. 3 (27) , pp. 29–50, 2019, [Online]. Available: https://sid.ir/paper/387201/en

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