بررسی اثرپذیری نوسانات شاخص صنایع غذایی از سرایت نوسانات بازارهای موازی: مقایسة VAR-GARCH-BEKKو سیستم معادلات همزمان
محورهای موضوعی : فصلنامه علمی -پژوهشی تحقیقات اقتصاد کشاورزی
معصومه محمد نسب چمازی
1
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فؤاد عشقی
2
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سید مجتبی مجاوریان
3
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سیده سمیرا کمال موسوی
4
1 - دانش‌آموخته کارشناسی ارشد، گروه اقتصاد کشاورزی، دانشکده مهندسی زراعی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، مازندران، ایران
2 - استادیار، گروه اقتصاد کشاورزی، دانشکده مهندسی زراعی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، مازندران، ایران
3 - دانشیار
4 - دانشجوی دکتری- بازاریابی محصولات کشاوری-دانشگاه علوم کشاورزی و منابع طبیعی ساری
کلید واژه: نوسان سکه, نوسان نرخ ارز, مدل‌های گارچ, تحلیل نوسانات مالی ,
چکیده مقاله :
این مطالعه به بررسی سرایت نوسانات بین بازارهای مالی در ایران با استفاده از مدل VAR-BEKK و معرفی سیستم معادلات همزمان گارچ می‌پردازد. یافته‌ها نشان می‌دهد که نوسانات شاخص صنایع غذایی و نوسانات شاخص کل بورس تأثیر متقابلی بر یکدیگر دارند. علاوه بر این، نوسانات بازار سکه تأثیر مثبت و معناداری بر نوسانات نرخ ارز دارد، در حالی که نوسانات شاخص صنایع غذایی نیز اثر قابل‌توجهی بر نوسانات شاخص کل بورس دارد. مقایسه مدل‌های مورد مطالعه نشان می‌دهد که سیستم معادلات همزمان گارچ در تحلیل سرایت نوسانات بین بازارها نسبت به مدل VAR-BEKK دقت بیشتری دارد. نتایج این پژوهش نشان می‌دهد که مدل VAR-GARCH-BEKK به‌تنهایی برای شناسایی سرایت نوسانات کافی نیست و لازم است از رویکردهای مکملی مانند معادلات همزمان در کنار آن استفاده شود. این یافته‌ها می‌تواند به درک بهتر تعاملات بین بازارها کمک کرده و در سیاست‌گذاری‌های مالی و مدیریت ریسک مورد استفاده قرار گیرد.
This study examines volatility spillovers among Iranian financial markets using the VAR-BEKK model and introduces the simultaneous equations of the GARCH system. The findings indicate a reciprocal influence between the volatility of the food industry index and the total stock index. Additionally, coin market fluctuations have a significant positive impact on exchange rate volatility, while the food industry index volatility strongly affects the volatility of the total stock index. Model comparisons show that the simultaneous equations GARCH system provides a more precise framework for analyzing volatility spillovers across markets compared to VAR-BEKK. The results suggest that the VAR-GARCH-BEKK model alone is not sufficiently reliable for capturing spillover effects and should be complemented with structural approaches such as simultaneous equations. These insights contribute to a deeper understanding of market interactions and offer valuable implications for risk management and financial policymaking, particularly in designing strategies to stabilize markets.
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