جستجوی مقالات مرتبط با کلیدواژه « مدل garch » در نشریات گروه « مالی »

Trade and relations between countries are a necessary condition for the financial convergence. With this approach, the present study investigated the impact of the Iranian stock market on the stock market of Iran's trading partner in the MENA region. for this purpose, information about the total stock market index of selected countries was collected during September 2015 to June 2022 and index fluctuations calculated using wavelet analysis. Next, the VAR model was estimated and the Granger causality test was performed. Finally, the effect of the news on the country's stock market was investigated using GARCH models. The results of wavelet analysis showed that, the range of stock market fluctuations in MENA countries has increased. Based on the results of the VAR model and Granger causality test, Iran's stock market is unilaterally affected by fluctuations in the stock market of trading partner and OPEC member countries, including Kuwait, Oman, Qatar, Saudi Arabia, the United Arab Emirates, and Lebanon. However, there was no sign of Iran's stock market being affected by fluctuations in the stock market of Jordan, Bahrain, Egypt, Tunisia, and Morocco. Finally, the results of the conditional variance models indicate that the selected countries follow a similar asymmetric fluctuation pattern.

One of the essential steps that the banking system needs to take for achieving the objectives of national economy is to provide facilities and, in other words, manage credit portfolio in order to reduce the risks, decrease the overall cost of facilities, prevent the freeze of resources, and employ up to date international standards. Accordingly, in this paper, the optimization of the credit portfolio of Melli Bank has been investigated over the period of 2014-2018 using by minimizing the risk of expected output. The results show that during the period under investigation, the Bank Melli has acted as a risk tolerant agency and the trend of facility shares, in almost all periods, has been compatible with the optimized correlation of risk and output; that means, during the periods of high risk levels, Bank Melli has allocated more facilities to the economic section in order to gain a better output. Also, in order to reduce the cost of given facilities during the period under review, it was better for Bank Melli to pay its given facilities in a way that would account for 43% of industry, 31% of services, 27% of construction.

This study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital and allocate resources effectively. Investigating what factor or factors influence the market price of a share in market and whether there is a systematic pattern of pricing a share is In terms of market efficiency .In this regard, the daily data of the Tehran Stock Exchange Index and Total Price Index during 2008-2018 have been used. ARCH, GARCH and Kalman filters were used to perform the test. The results of the tests show that there is no weak form of market efficiency in the Tehran Stock Exchange. And this inefficiency has not changed significantly since the first period. In other words, it is possible to predict returns in the Tehran stock market.

Among macroeconomic variables, interest rates are the most important ones; however, the impact of interest rates on prices and returns on the stock exchange is not so clear. In the other words, the relationship between interest rates and stock prices over time is not constant.
The purpose of this study is to investigate the relationship between the money market (interbank loan market) interest rates and stock market performance, as well as to investigate the predictability of price behaviour in the Tehran Stock Exchange. To determine effects as well as prediction, GARCH model is applied, also the Brock- Dechert - Scheinkman test (BDS) was used to determine the nonlinear behavior of the series for the stock market risk premium. The research findings confirmed the predictability and nonlinearity relationship between examined variables. Also, the research findings indicated that there is a meaningful relationship between the interbank loan rate with the price to income ratio of the Tehran Stock Exchange

The purpose of this study was to investigate the relationship between volume of transactions and value of transactions with stock returns in the stock exchange and various stock markets during the years 1385 to 1395. To investigate these communications, we used MGJR-GARCH, DCC-GJR-GARCH, diagonal BEKK and COPULA models. Between trading volume changes and stock returns of companies there is a two-way and direct relationship, but the relationship between transaction value and stock returns is one-way, and only the value of transactions that affects stock returns. Also, in the review of variables Researches with volume of transactions revealed that changes in the variables of liquidity volume, annual returns and oil prices with the volume of transactions have a reverse and meaningful relationship, and the returns of companies' shares and the value of transactions with the volume of transactions has a direct and meaningful relationship. Also, other than the volume of transactions, other research variables have a significant relationship with annual stock returns. The volatility of the volatile variables, the volume of liquidity and the price of gold, direct effect, and the changes in the value of transactions and oil prices have a negative effect on the returns of companies. The only variable whose volatility affects the price of oil is the return on shares of the companies.

All of investors in the Stock Exchange face risks. Thus, the measurement of risk is among the most important matters to investors. This study deals with the measurement of risk by criterion of Value at Risk. VaR was measured by using a GARCH model. The stock of the listed companies in Tehran Stock Exchange for the cement industry and the time period of the study is the price of cement companies between the years of 1389 to 1391. The results show that the GARCH model has good performance in estimating VaR in stock of listed companies in Tehran Stock Exchange for the cement industry and it can be concluded that the GARCH (1,1) model with the t-student distribution for the majority of listed companies is optimal. The results of this research can lead to favorable outcomes for risk management decisions.

According to the growing importance of financial markets, existence of any volatility in the market has dramatic effects on the economy. Therefore, in a dynamic financial markets including stock market, forecasting has improved to one of the most important issues in financial sciences. In this regard, this paper evaluated existence of long memory in returns and volatility of the market price index by using daily prices and returns Tehran Stock Exchange data from 2009/04/04 to 2013/10/22. The results of this study confirm the existence of long memory in both the mean and variance equations. After confirming the existence of long memory in this index, we used GARCH-type models (including non-fractal and fractal models) to track its volatility. Conclusively, comparing the information criteria (Akaike and Schwartz) of various conditional variance heteroskedasticity models, we found the performance of the ARFIMA (1,2)-FIGARCH (BBM) model is desirable.

This research has been done for scientific purposes to determine portfolio model and practical purposes from testing TEV and VaR models in Iran Capital Market .To done research, variables EPS,NI,MV,BV,CFO and MTB for 77 companies in Tehran Stock Exchenge from 1386 to 1391.Have been used to estimate VaR with using VaR and CVaR and GARCH models, at first ,data loaded in software. By using these 3 models , VaR has been estimated for all 77 companies .The reason of estimation VaR by using CVaR shows that VaR in the certainty levels 1%,5%,10% are different with each other. By increase the certainly levels, VaR increase ,too. Also, the reason of Kupic testing shows that two models are reliable and attributable .At the end of study to ranking two models ,Lopez testing has been carried out based on which the number of errors for CVaR model is less than GARCH model.

Over the last decade, processes with long term memory have been based on time series analyses. Existence of long term memory in stock price index has important applications in market efficiency, asset pricing and choice of portfolio. Accordingly in this paper, macroeconomic factors affecting stock price index are specified, and then the long-run vector is used to VAR model for the period (1369-1390). The results indicate that the real exchange has a positive effect on liquidity, interest rate and inflation but a negative effect on stock price index. Then it has been reviewed in the content of ARFIMA-GARCH model, to investigate the long memory. Finally, according to the estimated equation (ARFIMA (0, 0.24, 1)), that implies to the long term memory in stock price index, if there are shocks in stock price index some effects of these shocks will remain for a long period.

The balance of payments is one of the most important economic indicators for each country, because this variable is important information to the international situation and shows how the national economy conecte to other countries, foreign exchange and gold stock changes. In other words, the importance and reviews the balance of payments and thus the foreign exchange market is obvious because the majority of developing countries including Iran are suffering from the foreign trade imbalance due to its unpleasant effects on the domestic economy (production, inflation, etc.). Therefore, this study is trying to investigating the effect of implications and consequences of exchange rate shocks on the balance of payments. This study uses monthly time series data for the period 1385 Fravardin to 1392 Mordad and has been using Near-VECM model. Near-VECM which have higher explanatory power in comparing VECM base on the study result, analysis the effect of exchange rate volatility on The balance of payments, in addition to the exchange rate changes. According to the study findings, there were strong and significant short-run and long-run relationships between the research variables and also negative and significant short-run and long-run relationships between the foreign exchange volatility and the balance of payment. In addition, the coefficient of error correction term is equal to (-0.6) and it is negative and significant that shows the high speed adjustment process. Therefore, considering the research results, it is necessary that government executive economic policies to be designed and implemented with emphasis on reducing the volatility in the foreign exchange market.

All investors in the stock exchange are faced with risks. Thus، the measurement of risk is the most important matter for investors. This study deals with the measurement of risk by using Value at Risk (VaR) criteria via GARCH models. For this study the stock of the listed companies of the cement industry on Tehran Stock Exchange in period between 2010 to 2012 was considered. Results show that the GARCH models has good performance in estimating VaR in the stock of listed companies and it can be concluded that the GARCH (1،1) model with the t-student distribution is optimal for majority of the listed companies. The results of this research can lead to favorable outcomes for risk management decisions.

The paper orientation is the effect of political elections on the performance of Tehran Stock Exchange. Using daily stock index data, the effect of political elections on the performance of Stock Exchange by experimental study in the period (2006-2010) are searched. This paper studies the relationship between elections and the stock market using ordinary least squares (OLS) and GARCH (1, 1) focus on the pre-election and pro-election in the past five years.The results indicate that there is no significant effect of the election on the returns during the period of forty five days before and after the elections. Although, the index over a month before was volatile and after the election has been more bullish. The volatility in the councils and the Assembly of Experts elections is much smaller than the other two elections.

This paper compares the value relevance of book value and dividends versus book value and reported earnings. The main purpose of this study explains which of dividends, book value and earnings are more value relevance. Thus, we have examined 98 firms of Tehran Stock Exchange over a period 1377-1382. Our methodology of examining the information content of various income statement and balance sheet items is based on cross-sectional regressions of share price on the value measures. Four sets of findings are reported. First, overall, the variables, book value and dividends, have almost the same explanatory power as book value and reported earnings. Second, book value has less explanatory power than others. Third, in dividend payers firms, earnings has the most explanatory power, but book value and reported earnings have almost the same explanatory power as book value and dividends. Forth, for firms with transitory earnings, dividends have the greatest explanatory power over the three variables.