Volatility Transmission of the Rate of Returns in Iranian Stock, Gold and Foreign Currency Markets
The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A “VAR–MGARCH” model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2016-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_7049_3d591041ba05b0e5e8693cd29f219c97.pdf |
| Summary: | The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A “VAR–MGARCH” model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and nominal exchange rate (Dollar in terms of Rials).The results indicate that there are bidirectional shock transitions between gold and exchange markets and between gold and stock markets and there is a unidirectional shock transition from stock market to exchange market. Also, the results show that there are bidirectional volatility transitions between exchange and gold markets and gold and stock markets. |
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| ISSN: | 1726-0728 2476-6445 |