The Study of Volatility Trend in Tehran’s Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

سید علی آل عمران ¹ , رویا آل عمران ²

1 - مسئول مکاتبات
2 - ندارد

Received: 2012-01-07 Accepted : 2012-03-15 Published : 2012-09-10

Keywords: Stock Market, volatility, EGARCH Model,

Abstract :

The main objective of this paper is to study the volatility trend in Tehran’s stockexchange from 1999:03 to 2008:02. this research are looking for answer to thisquestion that, if The Tehran’s stock exchange in the study period had experiencedvolatility or not. To quantitative volatility, EGARCH Model is used. The resultsindicated The Tehran’s stock exchange is experienced volatility trend between 1999 to2008. So as, the most volatility level(instability) is occurred in 2003:01 and Then Themost instability has experienced in 2007:02, but in comparision with volatilityoccurred at 2003:01 is less.