Clustering of volatility and its asymmetry in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

زهرا شیرازیان ¹ , hashem NIKOUMARAM ² , Taghi´´´ TORABI ³

1 - عضو هیات علمی دانشگاه آزاد ملایر
2 - `` Faculty Member, Department of financial management, Science and Research Branch, Islamic Azad University, Tehran, Iran.
3 - ```` Faculty Member, Department of Economy, Science and Research Branch, Islamic Azad University, Tehran, Iran

Received: 2017-10-28 Accepted : 2017-12-31 Published : 2020-11-21

Keywords: leverage effect, Asymmetry, clustering of volatility,

Abstract :

The purpose of this study is to investigate the clustering of fluctuations and its asymmetry in Tehran Stock Exchange. Large changes in prices tend to be large changes and small changes tend to be small changes that are called clustering of fluctuations. On the other hand, higher volatility fluctuations, They tend to form more clusters than small fluctuations, which are referred to as clustering oscillations of oscillations. The volatility of return on assets can directly affect the price of transaction options and the risk of stocks and portfolios. This research is a practical and quantitative research. The statistical society of the time series of the index of Tehran Stock Exchange and the sample used in the time series of return on the total index in the period from the beginning of 2008 to August 2012 is. The index values are extracted from the new rational software and then the logarithmic yield is calculated and analyzed with the Eviews software. Based on the Box and Jenkins approach, the mean ARMA equation was obtained and ARCH test confirmed the existence of clustering fluctuations. The TGARCH model showed asymmetry in volatility and leverage effect. According to the AKIC statistic, the best GARCH model was used for extraction of fluctuations, ETGARCH was introduced.

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