Modelling of capital market returns fluctuations for Tehran Price Index Return: MRS-FI-TGARCH and FI-TGARCH models

Subject Areas : Journal of Investment Knowledge

Hajar Moradian ¹ , Ali Haghighat ² , Hashem Zare ³ , Mehrzad Ebrahimi ⁴

1 - PhD Student, Department of Economics and Management- Islamic Azad University Shiraz Branch,
2 - Assistant professor and member of Scientific Board- Islamic Azad University Shiraz Branch, (corresponding author)
3 - Assistant professor and member of Scientific Board- Islamic Azad University Shiraz Branch
4 - Assistant professor and member of Scientific Board- Islamic Azad University Shiraz Branch

Received: 2017-11-19 Accepted : 2018-03-13 Published : 2018-09-23

Keywords: Modeling, Stock Return, markove, long memory, symmetric,

Abstract :

The aim of this paper is to expand flexibility of modeling in capital market fluctuations. We achieve the goal by introducing MRS-FITGARCH model for the first time in the world. We use weekly TEPIX changes from 2009 to 2017. The parameters could change through the regimes. Results show that there are two regimes; regime one with high return mean and high return variance and regime two with low return mean and low return variance. Adding asymmetric effects and long memory potential prediction, are the novation of our new model. Valued Negative asymmetric effects coefficient results that bad news effects on the fluctuations were less than good news. It was not to be valued in regime tow and it means, good news and bad news has the symmetric effects in this regime. In regime one, there is unlimited long memory coefficient but in regime two fluctuations effects decreases in hyperbolic rate.  

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