Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange

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RASTGOO NEMAT; PANAHIAN HOSSEIN

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:1 (28) Page(s): 23-40

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Title

Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange

Author(s)

RASTGOO NEMAT | PANAHIAN HOSSEIN | Issue Writer Certificate

Keywords

systematic riskQ1

GARCH modelsQ1

time seriesQ1

Tehran stock exchangeQ2

Abstract

Objectives: The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country. Therefore, recognizing the causes of instability in market is of great importance for economic planners. The purpose of this research is systematic risk modeling using GARCH, E-GARCH, M-GARCH, ARFIMA-GARCH AND ARFIMA-FIGARCH models that is focuses on the residual review of the regression model, whose dependent variable is the market return and the independent variable, the natural logarithm of the change in the price index and cash return (TEDPIX) as a market portfolio. Method: Accordingly, the relevant data for 174 companies in Tehran stock exchange were extracted daily for the period 1385-1394. Results: After analyzing and checking the data in OXmetrics software and examining the models using three criteria, RMSE, MAE & TIC, the results showed that the ARFIMA-FIGARCH model had the least error in terms of all three criteria, which indicates the efficiency of the model in the systematic risk beta estimation.

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APA: Copy

RASTGOO, NEMAT, & PANAHIAN, HOSSEIN. (2020). Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(1 (28) ), 23-40. SID. https://sid.ir/paper/387681/en

Vancouver: Copy

RASTGOO NEMAT, PANAHIAN HOSSEIN. Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(1 (28) ):23-40. Available from: https://sid.ir/paper/387681/en

IEEE: Copy

NEMAT RASTGOO, and HOSSEIN PANAHIAN, “Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 1 (28) , pp. 23–40, 2020, [Online]. Available: https://sid.ir/paper/387681/en

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