Forecasting the Volatility of the Tehran Stock Market Index Using ARCH Models Family
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 6, Issue 8
Abstract
In this study, the function of predicting conditional fluctuation models (5 models) for predicting the total index of Tehran Stock Exchange has been evaluated by using the root-mean-square errors criteria, the mean absolute value of errors and the mean absolute value of errors percentage. The used data of this study is a daily time series of total stock price index from the beginning of the year 2006 to the end of the year 2010. The estimation was done using the Excel and EViews7 software. The results show that the root-mean-square errors of different modeling (ARCH family) is very close to each other and the other criteria are also equal for different modeling. The ARCH family models results furthermore show that ability of predicting GARCH, EGARCH, GJR, PGARCH and CGARCH models in the prediction of total index of Tehran Stock Exchange are both equal and there is no significant difference between their predictions.
Authors and Affiliations
Tooran Habibi *| Master of Accounting, Islamic Azad University Baghmalk, izeh, Iran, email: habibi. accounting @ yahoo.com, Mehran Habibi| Master of Public Administration, Islamic Azad University Baghmalk, izeh, Iran, Farhad Gheisari| PhD student in Public Administration, Islamic Azad University Ramhormoz, Ramhormoz, Iran
Keywords
Related Articles
- EP ID EP6224
- DOI -
- Views 278
- Downloads 8
A Proposed Algorithm for Spam Filtering Emails by Hash Table Approach
The number of received emails is constantly increasing; as a result, much time is daily spending on filtering and organizing emails. Therefore, a system is needed which is optimally used to classify and manage emails. Di...
Evaluation of urinary mercury levels in dentists of Dentistry department of Ahvaz oil industry`s health care, in 2010
Background: Occupational exposure to dental amalgam, could exposes them to Inhalation of mercury vapor; If Mercury accumulation exceeds the allowed limit(overloads) in the body, their health would be at risk, that it is...
Sheikh Eshragh’s Viewpoint about Nor-al- Anvar (Light of Lights)
The most important aspect in Sohrevardi’s though is the meaning of “Light”. According to Soheruardi light is apparently sensual and seems unchangeable. Therefore it is impossible to define the light. After all, the same...
Examining the Effect of Official Automation on Improvement of Mangers’ Decision Making (Case Study: Bokan Saderat Bank)
The aim of the present study is to examine the effect of official automation on improvement of mangers’ decision making. The study is applied, descriptive and survey in terms of goal, quality of data collection and quali...
Value Engineering and its role in energy efficiency in educational buildings
Figures show that about 37 percent of total energy consumption in the building sector's energy consumption that has been increasing by an average increase of about 7%. Energy consumption in buildings of 6/2 times the dev...