Bubble measurement and its contagion models in financial markets

Subject Areas : Mathematical Methods in Financial, Physical, Biological, Social, and Behavioral Sciences.

Vahid Mohammadi ¹ (Department of financial management,Central Tehran branch,Islamic azad univercity,Tehran, Iran)
Mir feiz Fallah shams ² (Department of Financial Management, Tehran Azad University, Center, Tehran, Iran)
Gholamreza Zomorodian ³ (Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran)

Received: 2023-02-21 Accepted : 2023-07-17 Published : 2024-06-15

Keywords: RADF, BEKK GARCH, SADF, DCC-GARCH, GSADF,

Abstract :

The aim is to investigate three methods to measure the bubble and categorize the methods of its contagion .The price bubbles of the capital market were tested with three methods (RADF), (SADF) and (GSADF) and the dates of their formation and collapse were determined. Two models of contagion using DCC-GARCH and BEKK GARCH methods were expressed and compared.The results indicated four bubble periods as follows 2015:11:17-2016:02:09, 2017:06:13-2017:07:18, 2017:07:25-2018:01:30 and 2018:03:20-2020:12:16. The results showed that in all three methods, the existence of a price bubble in stock exchange companies was confirmed