List of Articles گارچ

• Open Access Article
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  1 - Spillover Effect the on Contest Import & Export oriented industries
  Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan
• Open Access Article
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  2 - Evaluation the Management to Control The Liquidity Money by Central Bank in Iran
  رویا آل عمران سید علی آل عمران
• Open Access Article
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  3 - Modeling Behavior of Stock Price Using Stochastic Differential Equation with Stochastic Volatility
  Saber Molaei Mohammad Vaez Barzani Saeid Samadi
• Open Access Article
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  4 - Risk Measurement in Value at Risk (VaR): Application of Levy GARCH models (Study of Chemical industries in Tehran Stock Exchange)
  hossein amiri mahmood najafi nezhad mohammad sayadi
• Open Access Article
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  5 - Introducing an Early Warning System for High Volatility in Tehran Stock Exchange: Markov Switching GARCH Approach
  Younes Nademi Esmaeil Abounoori Zahra Elmi
• Open Access Article
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  6 - Investigation of Volatility Forecast Errors using Geometric Brownian Motion and GARCH Models in Sector Indices of Tehran Securities Exchange
  Ershad Emami Alireza Heidarzadeh Hanzaei
  10.30495/jfksa.2022.21084
• Open Access Article
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  7 - Comparing of Bayesian Model Selection Based on MCMC Method and Finance Time Series(GARCH Model)
  محمدرضا صالحی راد نفیسه حبیب یفرد
• Open Access Article
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  8 - Equity Premium Puzzle in Habit Formation Model With Fuzzy Sensitive Functions: A Case Study of Iran
  Alireza Erfani Solmaz Safari
• Open Access Article
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  9 - Identifying instability in the banking system using the Markov Switching Model
  Donya Hajishahverdi gholamreza zomorodian
• Open Access Article
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  10 - Forecasting Petroleum Futures Markets Volatility with GARCH and Markov Regime-Switching GARCH Models
  مرتضی بکی حسکوئی فاطمه خواجوند
• Open Access Article
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  11 - Modeling Financial return with Markov Time-Varying Mixed Normal GARCH Model
  Shirin Alipour Fatemeh Azizzadeh Khosro Manteghi
• Open Access Article
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  12 - The Study of Volatility Trend in Tehran’s Stock Exchange
  سید علی آل عمران رویا آل عمران
• Open Access Article
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  13 - Analyze of the dynamics of optimal hedge ratio in the gold coin market: MS-DCC approach
  Sanaz Miri Teimur Mohammadi Farhad Ghaffari
• Open Access Article
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  14 - Investigating the causality direction between saffron cash and futures markets focusing on periods of boom and recession
  Javad Ghiyasi Mohammadtaher AhmadiShadmehri
• Open Access Article
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  15 - تحلیل اثرات وابسته به وضعیت کل‌های پولی بر نرخ ارز واقعی: مدل مارکوف سوئیچینگ گارچ
  الهام امراللهی بیوکی کامبیز هژبر کیانی عباس معمارنژاد سید یحیی ابطحی
  10.30495/jae.2022.64927.1395
• Open Access Article
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  16 - Evaluation of RGARCH Model to Estimate the Conditional Variance of Tehran Stock Exchange Index
  Mohamad Amin Zabol Esmaiel Abounoori
• Open Access Article
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  17 - comparative study of dynamic performance of investment according to method (garch)and kalman filter
  Javad Yousefi Brahman JAVAD ramezani Mehdi Khalilpour
• Open Access Article
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  18 - Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market
  mahmood mohammadi alamuti mohammad reza haddadi younes nademi
• Open Access Article
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  19 - Effects of exchange rates shocks on Tehran stock market returns: MSFITGARCH model
  hajar moradian Ali Haghighat hashem zare Mehrzad Ebrahimi
• Open Access Article
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  20 - Evaluation of multivariate GARCH models in estimating the Values at Risk (VaR) of currency, stock and gold markets
  abdollah rajabi khanghah Hashem Nikoomaram Mehdi Taghavi Mirfeiz Fallah Shams
• Open Access Article
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  21 - Overflow of parallel markets of Tehran Stock Exchange over the trading industries of the stock exchange.
  hashem mokari seyed alireza mirarab bayigi Hoda Hemmati
• Open Access Article
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  22 - Calculating Tail Value at Risk Using a EGARCH-Extreme Learning Machine Model And The long-term forecast approach in the insurance industry
  reza raei Azam Honardoust ezzatolah abbasian
• Open Access Article
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  23 - The Development of Forecasting Model for Coherent Risk in Exchange Companies: Accounting data Approach
  Hosein Aryaeinezhad Arash Naderian Hosein Didekhani Ali Khozain
• Open Access Article
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  24 - Condensed Turbulence Influence of Return on Banks Accepted in the Stock Exchange
  rahman doostian babak jamshidi navid mehrdad ghanbary Abdolmajid Dehghan
• Open Access Article
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  25 - Investigating the factors affecting the determination of deposit insurance premiums among Iranian banks listed on the Iranian stock exchange and OTC
  Mohammadreza Aghamohammad semsar Saeed fallahpor saeed shirkavand Ali Forosh Bastani
• Open Access Article
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  26 - Modeling the Liquidity Risk Spillover Between Banks Accepted in the Tehran Stock Exchange Market
  abas banisharif mir feyz fallahshams zad fathi
• Open Access Article
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  27 - The religious months effect on the stock market return, volatility and volume in the stock exchange of Tehran
  Reza Tehrani Hosein Bayginia
• Open Access Article
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  28 - Investigation the Un-Suretunetly of Exchange Rate On Index Price & Level of Investment In Tehran Stock Index (Using VAR and GARCH Models)
  M. Hossein Ranjbar M. Feiz Fallah Shams Rouhollah Rezazadeh
• Open Access Article
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  29 - The Relation Between one Economic Events with the Concepts of Changing Regime about Returns, Risk and Liquidity in Stock Market
  Hassan Ghalibafasl Naser Elahi Masoomeh Torkaman Ahmadi Yadolah Dadgar
• Open Access Article
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  30 - The Effect of Economic and Financial Regime-switching on Equity Premium Puzzle In Fuzzy Logic Framework: The Evidence from Iran
  Alireza Erfani Esmaiel Abounoori Solmaz Safari
• Open Access Article
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  31 - Application of Extreme Value Theory in Value at Risk forecasting
  Hosein Falahtalab Mohammadreza Azizi
• Open Access Article
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  32 - Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method
  Ehsan Mohammadian Amiri Ehsan Mohammadian Amiri Seyed Babak Ebrahimi
• Open Access Article
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  33 - Spillover Effect On The On Contest Markets For Capital Market
  Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan
• Open Access Article
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  34 - Economic Cycle and Symmetric Volatility of Financial Market Returns: Study of Emerging Economies
  Saeed Moradpour Reza Tehrani Seyed Mojtaba Mirlohi Ezatolah Abbasian
• Open Access Article
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  35 - Multivariate GARCH models". Journal of business and economic statistic Value at Risk and Spillover effect estimate using MGARCH
  Mohammadreza Rostami Sahar Farahmand
• Open Access Article
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  36 - Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran
  Abdollah Rajabi Khanghah Hashem Nikomaram Mehdi Taghavi Fereydoon Rahnamay Roodposhti Mirfiyaz Fallah Shams
• Open Access Article
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  37 - Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange
  Rahman Doostian Babak Jamshidi navid Mehrdad Ghanbari Abdol Majid Dehghan
• Open Access Article
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  38 - The effect of liquidity and diversification on choosing the optimal investment portfolio
  ABBAS KHADEMPOUR ARANI Mehdi Madani Zaj AmirReza Keyqobadi QolamReza Zomorodian
• Open Access Article
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  39 - Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach)
  Esmaeil Aboonouri AmirMansour Tehranchian Mostafa Hamzeh
• Open Access Article
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  40 - Money Growth Uncertainty and Currency Substitution in IRAN: A Multivariate GARCH Approach
  Sima Eskandari Sabzi Asad Allah Farzinvash Kambiz Hojabr Kiani Hamid Shahrestani
• Open Access Article
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  41 - Modeling Equity Premium Puzzle by Using Fuzzy Logic: A Number of Evidences from Iran
  Alireza Erfani Solmaz Safari
• Open Access Article
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  42 - Exchange Rate Pass-Through into Import Price in Iran Economy with Emphasis on Volatility of Oil Revenues (Nonlinear Approach)
  Mana Mesbahi Hosein Asgharpour Jafar Haghighat Seyed Alireza Kazerooni firooz fallahi
• Open Access Article
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  43 - Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model)
  ali akbar baghestani reza rahimi
• Open Access Article
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  44 - State Dependent Effects of Monetary Aggregates on Exchange Market Pressure in Iran's Economy
  Mohsen Tooti Seyed Yahya Abtahi Jalil Totonchi Zohreh tabatabaeinasab
• Open Access Article
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  45 - آیا شاخص قیمت کشاورزی به نوسانات نرخ ارز در ایران واکنش نشان می دهد؟
  محمد عبدی سیّدکلایی امیر منصور طهرانچیان احمد جعفری صمیمی سیّد مجتبی مجاوریان
• Open Access Article
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  46 - Optimizing the investment portfolio using ccc, dcc and Markowitz algorithm models : Evidence from the stock exchange
  zahra ghorbani Alireza Daghighi Asli Marjan Damankeshideh roya seifipour
  10.30495/ECOMAG.1402.1045588
• Open Access Article
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  47 - Comparing the Relationship between Inflation and Inflation Uncertainty in Iran and Three OPEC Members
  Elham Farnaghi Oranus Parivar Hamid Tofighi
• Open Access Article
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  48 - Portfolio Optimization of Listed Industries in Tehran Stock Exchange using Orthogonal GARCH
  sahar abedini esmaiel abounoori Gh. Reza Keshavarz Haddad
  10.30495/fed.2024.709335
• Open Access Article
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  49 - Does oil price uncertainty affect the Tehran Stock Exchange index? Quantile regression approach based on wavelet transform
  Ali Sargolzaei Narges Salehnia Massoud Homayounifar S. Mohammad Qaim Zabihi
  10.30495/fed.2023.707978
• Open Access Article
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  50 - تاثیر نوآوری بر نوسانات سهام شرکتهای داروسازی بورس اوراق بهادار تهران
  حامد عباسی آقا ملکی قهرمان عبدلی علی سوری محسن ابراهیمی
• Open Access Article
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  51 - پوشش ریسک درآمدهای نفتی ایران: رویکرد پوشش ریسک تجمیع یافته
  علی طیب نیا محسن مهر آرا آزاده اختری
• Open Access Article
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  52 - The analysis of permanent and temporary fluctuations of Brent Oil & Relative Industries Index With Gold, Currency Index: Network Approach
  تیمور محمدی عبدالرسول قاسمی عاطفه تکلیف علی صادقین
  10.30495/fed.2021.687871
• Open Access Article
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  53 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران
  کریم امامی الهه ملکی
• Open Access Article
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  54 - واژه‌های کلیدی: سرریز تلاطم ، معاملات اختلال زا ، بازارهای مالی ، مدل آرچ ، مدل گارچ . طبقه بندی JEL : C22.C32.G11,G4
  Sharara Taheri Abdul Majid Abdul Baqi Attaabadi majid vaziri sarashk Mohammad Hossein Arman
  10.30495/fed.2023.702186
• Open Access Article
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  55 - Investigating the Correlation Between Crude Oil Prices and the Stock Market in Iran: A multivariate GARCH approach and wavelet
  Nasim Amin Roya Aleemran Rasoul Baradaran Hassanzadeh Amir Ali Farhang
  10.30495/fed.2023.705595
• Open Access Article
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  56 - America's Exit from Joint Comprehensive Plan of Action and Turbulence in Iran's economy
  Amir Sajedi Sinaz Sajedi Sajedi
  DOR:20.1001.1.24234974.1398.12.46.4.7
• Open Access Article
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  57 - بررسی اثر نا اطمینانی نرخ ارز بر شاخص قیمت سهام و میزان سرمایه‌گذاری در بورس اوراق بهادار تهران (با استفاده از مدلهای GARCH و VAR)
  محمدحسین رنجبر میر فیض فلاح شمس روح اله رضا زاده
• Open Access Article
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  58 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies Listed in the Tehran Stock Exchange
  Bita delnavaz mirfeiz fallah
• Open Access Article
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  59 - Assessing the Transparency of Selected Private Banks' Information Based on Risk Criteria (Value At Risk)
  Hossein Abdo Tabrizi reza tehrani Ghodratolla Imam Verdi Saeed Fallahpour Ali Baghani
  10.30495/faar.2022.697084
• Open Access Article
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  60 - Integrated Multi-Objective and Econometrics Model for Stock Portfolio Optimization
  Abbas KhadempourArani Amirreza Keyghobadi Mehdi MadanchiZaj Gholamreza Zomorodian
  10.30495/faar.2022.693677
• Open Access Article
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  61 - Forecasting the Global Gold Price Movement with Marginal Distribution Modeling Approach: An Application of the Copula GARCH Gaussian and t
  Mohammad reza Haddadi Younes Nademi Hamed Farhadi
• Open Access Article
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  62 - Asymmetric effects of volatility in Iran and UAE stock marke
  Esmaiel abouoori mohammd Noferesti Mansour tour
• Open Access Article
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  63 - Investigate the effectiveness of gold coin dealing to hedge the risk of stock price volatility
  Soheila Hoghooghi Mohammad Ebrahim Aghababaei
• Open Access Article
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  64 - The assessment of extreme value theory and Copula - Garch models in prediction of value at risk and the expected short fall in portfolio Investment Company in Tehran stock exchange.
  ali alizadeh Mirfeiz Fallah
• Open Access Article
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  65 - Forecasting Probability of default of Corporations with the Merton model: Using Capital Asset Pricing Model with Time Varying Beta
  mehdi sabeti Gholamreza Zomorodian mirfeyz fallah mehrzad minuyi
• Open Access Article
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  66 - Modelling of appropriate pattern in order to forecast systemic liquidity risk of corporate stocks in capital market of Iran, by using multivariate GARCH models and Markov switching approach
  Seied Hamid Reza Sadat Shekarab Fereydon Ohadi mohsen Seighaly Mirfaze Fallah
• Open Access Article
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  67 - Designing and Explaining the Systematic Risk Estimation Model using metaheuristic Method in Tehran Stock Exchange: Adaptive Approach to the Model of Econometrics and Artificial Intelligence
  Nemat Rastgoo hosein panahian
• Open Access Article
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  68 - Comparison Models of Brownian motion and Fractional Brownian Motion and GARCH in Volatility Estimation of Stock Return
  S. Ali Nabavi Chashmi Mariyya Mokhtarinejad
• Open Access Article
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  69 - بررسی عوامل مؤثر بر تغییرات قیمت قراردادهای آتی در بورس کالای ایران
  علی سعیدی شهریار علیمحمدی
• Open Access Article
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  70 - مدلسازی عدم تقارن و تغییر‌ساختاری سری‌های زمانی مالی با استفاده از فرآیندهای Markov-switching GARCH
  رسول سجاد امیرحسین فراهانی راد
• Open Access Article
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  71 - Risk and Return Behavior of Bitcoin in comparison with Gold, Currency, and Stock Markets by application of GJR-GARCH and TGARCH Models
  Mohammad Salehifar
• Open Access Article
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  72 - Modeling and Forecasting Evaluation of Different Models of Short-Term Memory, Long-Term Memory, Markov Switching and Hyperbolic GARCH in Forecasting OPEC Crude Oil Price Volatility
  mahmood mohammadi alamuti Mohammadreza Haddadi Younes Nademi
• Open Access Article
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  73 - The investigate Irregular Behavioral Stock, Stock Expects and Stock Returns Using the Liponov and Kolmogorov Method and BDS in the Tehran Stock Exchange with an Emphasis on Copula Garch and Copula TGarch
  mohammadreza Navaeian Mohammadreza Vatanparast Hadi Saeidi Shaban Mohammadi
• Open Access Article
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  74 - State Dependent Effects of Monetary Policy on Macroeconomic Dynamics
  Mohsen Toutichobar Seyed Yahya Abtahi jalil totonchi Zohreh tabatabaeinasab
  10.30495/ECOMAG.1403.1122769
• Open Access Article
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  75 - The Effects of Exchange Rate Volatility on Agricultural Trade in Iran
  F. زمانی H. مهرابی بشرآبادی