مدل سازی نوسانات بازده بورس اوراق بهادار تهران مدل MRS-FI-TGARCH و FI-TGARCH
الموضوعات : دانش سرمایه‌گذاری
هاجر مرادیان
1
,
علی حقیقت
2
,
هاشم زارع
3
,
مهرزاد ابراهیمی
4
1 - دانشجوی دکتری،گروه اقتصاد، واحد شیراز، دانشگاه آزاداسلامی، شیراز، ایران
2 - استادیار و عضو هیات علمی گروه اقتصاد، واحد شیراز، دانشگاه آزاداسلامی، شیراز، ایران (نویسنده مسئول)
3 - استادیار و عضو هیات علمی گروه اقتصاد، واحد شیراز، دانشگاه آزاداسلامی، شیراز، ایران.
4 - استادیار و عضو هیات علمی گروه اقتصاد، واحد شیراز، دانشگاه آزاداسلامی، شیراز، ایران.
الکلمات المفتاحية: مدل سازی, بازده سهام, مارکوف, حافظه بلندمدت, تقارن,
ملخص المقالة :
هدف این مقاله افزایش انعطاف پذیری مدل سازی نوسانات بازار سرمایه می باشد. این امربا معرفی مدل MRS-FI-TGARCH برای اولین بار در دنیا انجام می گیرد. به این منظور از شاخص هفتگی قیمت بورس اوراق بهادار تهران طی سالهای ۲۰۰۹ تا ۲۰۱۷ استفاده می شود .پارامترها قابلیت تغییر با رژیم را دارند. نتایج نشان داد دو رژیم رونق، با بازده انتظاری بالا و نوسان بالا و رژیم رکود، با بازده انتظاری پایین و نوسان پایینوجود دارند. افزودن قابلیت پیش بینی اثرات نامتقارن وحافظه بلند مدت نوآوری مدل جدید است. معناداری ضریب منفی اثرات نامتقارن دررژیم رونق نشان می دهد اثر اخبار بد بر نوسانات، کمتر از اخبار خوب است . معنادارنبودن آن در رژیم رکود ، بیانگرمتقارن بودن اثرات اخبار خوب و بد است. دررژیم رونق، حافظه نامحدود وجود دارد اما دررژیم رکود اثر نوسانات با نرخ هیپربولیک کاهش می یابد.
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