Evaluation of return in investment company with three Markov switching model ,symmetric and asymmetric

Subject Areas : Financial engineering

Fatemeh Samadi ¹ , F. Rahnamay Roodposhti ² , Hashem Nikoomaram ³

1 - Department of Accounting, Sargh Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran
2 - Department of Business Management, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Department of Business Management, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran

Received: 2016-04-08 Accepted : 2016-05-18 Published : 2016-12-21

Keywords: Asymmetric Return, Symmetric Return, Markow Switiching Model(MSM).Fractal Market,

Abstract :

For more than a decade of modern financial theory as only the most filed comments on the capital market has been the basis of most studies. But the crisis created in the past decade in most countries  and as wll as that many research topic it shows the failure of the modern theory and traditional assumption in fainancial market . So need to reload this theory strongly felt. This new approach  according to chaos theory and the fractal science ,Has transformed the classical ideas and methods and words are sufficient to describe the capital market to be done. In this paper , we attempt to introudioced the new approach in fainance. This paper present the mulifractal models of assest return (MMAR). and test   the   investing company return by three method (MS-EGARCH), Multifractal, Symmetric market (GARCH), Asymmetric (EGARCH).