List of Articles گارچ چندمتغیره

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  1 - Multivariate GARCH models". Journal of business and economic statistic Value at Risk and Spillover effect estimate using MGARCH
  Mohammadreza Rostami Sahar Farahmand
  In this paper we examine the usefulness of multivariate GARCH models to estimate Value-at-Risk (VaR) and spillover effect using a portfolio of returns in the OPEC and WTI oil spot market. In this procedure first we estimate conditional covariance matrix using multivaria More

  In this paper we examine the usefulness of multivariate GARCH models to estimate Value-at-Risk (VaR) and spillover effect using a portfolio of returns in the OPEC and WTI oil spot market. In this procedure first we estimate conditional covariance matrix using multivariate GARCH models, results show that in multivariate GARCH models, although CCC model estimate variance matrix well with utilize more complete information of correlation matrix. Also we detect extreme risk spillover effect between the two oil markets from existence covariance between variable. The tests showed the importance of time varying correlation in risk portfolio management. The estimated Value-at-Risk represents the superiority of CCC to other models. The distributional assumption has large impact on VaR estimation. These results are valuable for anyone who needs to evaluate and forecast the risk situation in international crude oil markets. Manuscript profile
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  2 - 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
  This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data du More

  This paper, empirically, analyzes dynamic relationship between real effective exchange rate and industrial index in Tehran Stock Exchange market using VAR and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), by monthly time series data during 2001-2011. The results represent that there is no long-term significant relationship between effective real exchange rate and industry index. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets. There is a bidirectional volatility spillovers effects between two markets. This indicates that previous innovations in stock market affects on the future volatility in foreign exchange market, and vice versa. Manuscript profile
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  3 - 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
  AbstractTransparency of financial information has always been one of the most important concerns of investors and depositors of the banking system. Therefore, the purpose of this study is to investigate the significant relationship between value at risk using book data More

  AbstractTransparency of financial information has always been one of the most important concerns of investors and depositors of the banking system. Therefore, the purpose of this study is to investigate the significant relationship between value at risk using book data and market data as a measure of information transparency. For this purpose, at first, the value at risk was calculated using the EGARCH model and then, to examine the significance of the relationship and ranking of banks in terms of information transparency, Pearson correlation coefficient between value at risk (VaR)  calculated from market data and book data has been used. The results showed that in the simultaneous data dimension, there is a weak relationship between book and market VaR  and only the correlation coefficient between book and market VaR of Pasargad and Sina banks are statistically significant at 95% confidence level. If we consider the issue of the speed of book value information spreading in the market with a time lag, the values of the correlation coefficient of book and market VaRs for Parsian, Pasargad and Eghtesad-e-novin banks are significant at 99% confidence level and this coefficient is significant for Sina and Saman banks at 95% confidence level. Manuscript profile