文章基本信息

标题：Modeling Volatility: Evidence from Tehran Stock Exchange
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作者：Shapour Mohammadi ; Reza Raei ; Reza Tehrani 等
期刊名称：Financial Research
印刷版ISSN：1024-8153
电子版ISSN：2423-5377
出版年度：2010
卷号：11
期号：27
页码：1-14
出版社：University of Tehran Electronic Journals Database
摘要：The research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in Tehran Stock Exchange using GARCH-family models including GARCH(1,1), GARCH(2,2), EGARCH(1,1), PGARCH(1,1), TGARCH(1,1), GARCH(1,1)-M and CGARCH(1,1). Using the daily returns of Tehran Stock Exchange companies, we focused on two portfolios of all the companies during a 10-year-period and those liquid ones during a 5-year-period. In order to meet the distributional characteristics of the financial time series, we have used Normal, t-Student and GED distributional assumptions. The results of this survey and applied research show that first, the conditional volatility models best succeed in modeling characteristics of financial data including volatility clustering, long memory and leverage effects. Second, for both portfolios, increased risk will lead to a rise in the returns.
关键词：GARCH;Leverage Effects.;Long memory;Risk and Return;Tehran Stock Exchange;Volatility Clustering