Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model
This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector indexes, it is important for financial market...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2012-07-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_36628_3dbb24322744cda445e3920e80a50fdf.pdf |
| _version_ | 1818029534668128256 |
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| author | Esmaiel Abounoori Mohammadreza Abdollahi |
| author_facet | Esmaiel Abounoori Mohammadreza Abdollahi |
| author_sort | Esmaiel Abounoori |
| collection | DOAJ |
| description | This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector indexes, it is important for financial market participants to understand the volatility transmission mechanism over time and across sectors in order to make optimal portfolio allocation decisions. Results show significant transmission of shocks and volatility among different sectors. These findings support the idea of cross-market hedging and sharing of common information by investors in these sectors. <br /> <br /> |
| first_indexed | 2024-12-10T05:21:13Z |
| format | Article |
| id | doaj.art-88f80d7289d34e4ca9f36693921be598 |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-10T05:21:13Z |
| publishDate | 2012-07-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-88f80d7289d34e4ca9f36693921be5982022-12-22T02:00:48ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772012-07-0114111610.22059/jfr.2012.3662836628Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH ModelEsmaiel Abounoori0Mohammadreza Abdollahi1. Professor of Econometrics & Social Statistics, Department of Economics, University of Semnan, IranPh.D. student in Financial Economics, Department of Economics, Allameh Tabatabai University, Tehran, IranThis paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector indexes, it is important for financial market participants to understand the volatility transmission mechanism over time and across sectors in order to make optimal portfolio allocation decisions. Results show significant transmission of shocks and volatility among different sectors. These findings support the idea of cross-market hedging and sharing of common information by investors in these sectors. <br /> <br />https://jfr.ut.ac.ir/article_36628_3dbb24322744cda445e3920e80a50fdf.pdfvolatility transmissionmgarchmodeling volatility |
| spellingShingle | Esmaiel Abounoori Mohammadreza Abdollahi Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model تحقیقات مالی volatility transmission mgarch modeling volatility |
| title | Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model |
| title_full | Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model |
| title_fullStr | Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model |
| title_full_unstemmed | Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model |
| title_short | Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model |
| title_sort | modeling different sector volatility of iran stock exchange using multivariate garch model |
| topic | volatility transmission mgarch modeling volatility |
| url | https://jfr.ut.ac.ir/article_36628_3dbb24322744cda445e3920e80a50fdf.pdf |
| work_keys_str_mv | AT esmaielabounoori modelingdifferentsectorvolatilityofiranstockexchangeusingmultivariategarchmodel AT mohammadrezaabdollahi modelingdifferentsectorvolatilityofiranstockexchangeusingmultivariategarchmodel |