Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index
The present research, analyzses the forecasting performance of a variety of conditional and non-conditional models of TEDPIX volatility at the daily frequencies under three performance criteria: namely Tthe root mean square error (RMSE), the mean absolute error (MAE) and the Theil index. Under RMS...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2009-09-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Online Access: | https://ijer.atu.ac.ir/article_3486_67087065a56890c50738abb07c270ca5.pdf |
| _version_ | 1827393263737241600 |
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| author | Reza Tehrani Mohammad Reza Pourebrahimi |
| author_facet | Reza Tehrani Mohammad Reza Pourebrahimi |
| author_sort | Reza Tehrani |
| collection | DOAJ |
| description | The present research, analyzses the forecasting performance of a variety of conditional and non-conditional models of TEDPIX volatility at the daily frequencies under three performance criteria: namely Tthe root mean square error (RMSE), the mean absolute error (MAE) and the Theil index. Under RMSE and Theil criteria, results show MA250, exponential smoothing, and CGARCH models haved better performance among between non conditional and conditional models respectively. Comparing forecasting performance of conditional and non conditional models shows that MA250 and ES models had better performance relative to conditional models. Other results of the study also reveal that according to conditional volatility models (except PARCH) there is a significant relationship between behavior of volatility and the targeted volatility range This result cannot be approved by ARMA. change of the price control whereas ARMA model rejects it. Furthermore, change of the time period of return measurement (daily and monthly) affects behavior of volatilitvolatility varies in different return. |
| first_indexed | 2024-03-08T17:45:45Z |
| format | Article |
| id | doaj.art-42fcf77e510c48d8ac9c977f6daee51d |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:45Z |
| publishDate | 2009-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-42fcf77e510c48d8ac9c977f6daee51d2024-01-02T10:28:37ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452009-09-0113401491703486Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price IndexReza Tehrani0Mohammad Reza PourebrahimiFaculty member of the Faculty of Management, University of TehranThe present research, analyzses the forecasting performance of a variety of conditional and non-conditional models of TEDPIX volatility at the daily frequencies under three performance criteria: namely Tthe root mean square error (RMSE), the mean absolute error (MAE) and the Theil index. Under RMSE and Theil criteria, results show MA250, exponential smoothing, and CGARCH models haved better performance among between non conditional and conditional models respectively. Comparing forecasting performance of conditional and non conditional models shows that MA250 and ES models had better performance relative to conditional models. Other results of the study also reveal that according to conditional volatility models (except PARCH) there is a significant relationship between behavior of volatility and the targeted volatility range This result cannot be approved by ARMA. change of the price control whereas ARMA model rejects it. Furthermore, change of the time period of return measurement (daily and monthly) affects behavior of volatilitvolatility varies in different return.https://ijer.atu.ac.ir/article_3486_67087065a56890c50738abb07c270ca5.pdf |
| spellingShingle | Reza Tehrani Mohammad Reza Pourebrahimi Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index فصلنامه پژوهشهای اقتصادی ایران |
| title | Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index |
| title_full | Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index |
| title_fullStr | Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index |
| title_full_unstemmed | Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index |
| title_short | Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index |
| title_sort | comparing the forecasting ability of deferent models of volatility in tehran exchange dividend price index |
| url | https://ijer.atu.ac.ir/article_3486_67087065a56890c50738abb07c270ca5.pdf |
| work_keys_str_mv | AT rezatehrani comparingtheforecastingabilityofdeferentmodelsofvolatilityintehranexchangedividendpriceindex AT mohammadrezapourebrahimi comparingtheforecastingabilityofdeferentmodelsofvolatilityintehranexchangedividendpriceindex |