Modeling Price Dynamics and Risk Forecasting in Tehran Stock Exchange Market: Nonlinear and Non-gaussian Models of Stochastic Volatility
Objective: The daily observations of the total index of the Tehran Stock Exchange show that in the last few years, stock prices have been very volatile. This volatility can harm the economic environment of Iran. Modeling and predicting price volatility in this market can provide important informatio...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2023-07-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_93304_da0321ab3e349600b1a4508926ff5527.pdf |