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Paper Information

Journal:   FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)   SUMMER 2012 , Volume 5 , Number 14; Page(s) 119 To 132.
 
Paper: 

THE STUDY OF VOLATILITY TREND IN TEHRAN’S STOCK EXCHANGE

 
 
Author(s):  ALEEMRANN S.A., ALEEMRAN R.
 
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Abstract: 

The main objective of this paper is to study the volatility trend in Tehran’s stock exchange from 1999:03 to 2008:02. This research are looking for answer to this question that, if the Tehran’s stock exchange in the study period had experienced volatility or not. To quantitative volatility, EGARCH Model is used. The results indicated. The Tehran’s stock exchange is experienced volatility trend between 1999 to 2008. So as, the most volatility level (instability) is occurred in 2003:01 and Then The most instability has experienced in 2007:02, but in comparision with volatility occurred at 2003:01 is less.

 
Keyword(s): STOCK MARKET, VOLATILITY, EGARCH MODEL
 
References: 
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