Prediction Stock Volatility and Probability Extreme Return
Subject Areas : Financial Knowledge of Securities Analysis
felor ghorashi
1
,
ghodratollah emamverdi
2
,
Sayedeh Mahboubeh Jafari
3
,
Ali Baghani
4
,
Yadollah NouriFard
5
1 - faculty economic &accounting, azad university south branch, P.h.d student
2 - Assistant Professor, Dpartment of Economics, centerTehran Branch, Islamic Azad University
3 - , Faculty of Economics and Accounting, Azad University South Tehran Branch
4 - Assistant Professor, Faculty of Economics and Accounting, Azad University South Tehran Branch
5 - Assistant Professor, Faculty of Economics and Accounting, Azad University South Tehran Branch
Keywords: Extreme return, Conditional volatility, idiosyncratic volatility, expected shortfall, Five-factor model, Probit Regression,
Abstract :
This study examines the relationship between volatility and the probability of occurrence of expected extreme positive and negative returns in The thehran security market. The purpose of this research is optimation portfolios via hold positive return and eleminate nagative return. Two measures of volatility and the factor of expected shortfall are examined: conditional volatility calculated using an EGARCH model and idiosyncratic volatility based on the Fama and French five-factor model and expected shortfall calculate with smi-parametric metod. This paper is based on regresion probit model and data use from 1382 to 7/1397. A significantly positive relationship is observed between a firm’s idiosyncratic volatility and the probability of occurrence of an extreme return. Other firm characteristics, including firm price, volume and Book-to-Market ratio, are also shown to be significantly related to firm extreme returns. The relationship Between the age factor and exterem return is not found relation. The effects of conditional and expected shortfall are mixed.
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