List of Articles GARCH

• Open Access Article
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  1 - Long memory in Tehran Stock Market Index Compared to Exchange Rate (USD) in Iran Economic
  mojtaba abolhasani poorashkezar Ahmad Sarlak Teimur Mohammadi Gholam Ali Haji
• Open Access Article
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  2 - Spillover Effect the on Contest Import & Export oriented industries
  Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan
• Open Access Article
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  3 - 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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  4 - 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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  5 - 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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  6 - E-Garch and Modeling of Market Volatility Based on Noise Trading
  Abdolmajid Abdolbaghi Siavash Sbour Maryam Bagheri Rafi
• Open Access Article
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  7 - 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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  8 - Forecasting value-at-risk and expected shortfall using high frequency data modeling
  S. Babak Ebrahimi Negin Mohebbi
• Open Access Article
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  9 - 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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  10 - Dynamic and Extreme Dependency Analysis Based on copula-GARCH and Semi Parametric Approach
  Maryam Moghaddas Bayat Shamsollah Shirinbakhsh Massoleh
• Open Access Article
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  11 - 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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  12 - The asymmetric effect of inflation on stock price Index in Tehran Stock Market
  مهدی پدرام شمس اله شیرین بخش ماسوله آمنه روستایی
• Open Access Article
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  13 - 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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  14 - Analyses the Balance of Payment Interact from Foreign Exchange Market Events: The Case of IRAN
  Nasredin AghazadehKamali Majid Delavari Ali asghar AsgharEsfandiyari
• Open Access Article
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  15 - بررسی سرایت تلاطم بین بازارهای سهام؛ مطالعه موردی بازار سهام ایران، ترکیه و امارات
  سید محمد سیدحسینی سید بابک ابراهیمی
• Open Access Article
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  16 - The Effect of Exchange Rate Volatility on the Iran Stock Market Exchange
  مهدی پدرام
• Open Access Article
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  17 - 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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  18 - Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching
  S. Mozaffar Mirbargkar Maryam Sohrabi
• Open Access Article
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  19 - Long memory investigation and application of wavelet decomposition to improve the performance of stock market volatility forecasting
  شمس اله شیرین بخش اسماعیل نادری نادیا گندلی علیخانی
• Open Access Article
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  20 - Modeling Financial return with Markov Time-Varying Mixed Normal GARCH Model
  Shirin Alipour Fatemeh Azizzadeh Khosro Manteghi
• Open Access Article
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  21 - The relationship between futures and cash market price of gold coins
  بهزاد فکاری سردهایی اکبر میرزاپور علی صیامی مصطفی کجوری
• Open Access Article
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  22 - The Study of Volatility Trend in Tehran’s Stock Exchange
  سید علی آل عمران رویا آل عمران
• Open Access Article
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  23 - The Impact of Investors Sentiments on the Gold Coin Futures Market
  Hasti Chitsazan Masoud Keimasi
• Open Access Article
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  24 - 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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  25 - 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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  26 - Presenting of nonlinear hybrid model based on Extreme Value Theory for forecasting the Conditional Value at Risk (CVaR)
  Ehsan Mohammadian Amiri Ehan Atefi Seyed Babak Ebrahimi
• Open Access Article
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  27 - تاثیر تورم شرکای تجاری ایران بر نااطمینانی تورم ایران: رهیافت مدل‌های GARCH
  حسین فتحی زاده خسرو پیرائی احسان اسدی
• Open Access Article
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  28 - بررسی تاثیر معاملات پربسامد بر بازدهی شرکت های کوچک و بزرگ پذیرفته شده در بورس اوراق بهادار تهران با استفاده از روش‌ تغیرپذیری مارکوف
  علیرضا ظفرپور احمد سرلک غلامعلی حاجی
  10.30495/jae.2023.75975.1512
• Open Access Article
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  29 - بهینه سازی سبد سرمایه گذاری شرکت سرمایه گذاری بانک سپه با استفاده از مدل ترکیبی مارکوویتز و GARCH چند متغیره
  یگانه موسوی جهرمی الهام غلامی ساجده سامعی
• Open Access Article
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  30 - تأثیر نااطمینانی متغیرهای حقیقی و پولی منتخب بر بازدهی بازار سرمایه (مطالعه موردی بورس اوراق بهادار تهران)
  سمانه طریقی تقی ترابی عباس معمارنژاد فرهاد غفاری
• Open Access Article
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  31 - The study of effective economic factors on trade openness in IRAN under stable and nonstable conditions
  Mohammadreza Mohammadvand Nahidi Parisa Sagezchi
• Open Access Article
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  32 - تحلیل اثرات متقابل نا اطمینانی بورس اوراق بهادار تهران در میان بورس‌های منطقه و جایگاه آن: کاربرد الگوی MGARH (BEKK)
  بهزاد فکاری سردهایی محمدرضا کهنسال سمیه ربانی
• Open Access Article
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  33 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
  Azadeh Mehrabian Ilnaz Chegeni
• Open Access Article
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  34 - Effect of Economic Stability on Demand for Money in Iran (1973‐2008)
  رویا آل عمران فهیمه نصراله سیدعلی آل عمران
• Open Access Article
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  35 - Assessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
  Maryam Khalili Araghi Meisam Mohazzab Pak
• Open Access Article
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  36 - 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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  37 - 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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  38 - Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods
  mohamad esmail fadainejad ali saleabadi gholamhosein asadi mohamad taghi vaziri hasan taati kashani
• Open Access Article
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  39 - 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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  40 - 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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  41 - Volatility of financial stress index on consumer overflow check indicator, the Producer Price Index and Consumer Price Index, with an emphasis on models GARCH-BEKK, VAR and Granger causality
  rohollah rezazadeh hashem nikomaram Mirfeiz Falah Shams
• Open Access Article
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  42 - 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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  43 - Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models)
  Reza Najarzadeh Mehdi Zolfaghari Samad Golami
• Open Access Article
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  44 - 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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  45 - 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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  46 - 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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  47 - 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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  48 - Exchange Rate Optimal Hedge Ratio by Gold Futures in Iran
  Rasool Sajad Adena Torosian
• Open Access Article
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  49 - 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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  50 - Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange
  Mirfeyz Fallah Shams Yagoub Panahi
• Open Access Article
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  51 - The relationships between market beta with macroeconomic variables and accounting information
  Ali Rahmani Kambiz Peikarjoo Mansoureh Azizi
• Open Access Article
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  52 - Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index
  Mehrdokht Mozaffari Hashem Nikoomaram
• Open Access Article
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  53 - 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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  54 - Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract
  Ali Rostami Gholamreza Zomorodian Meysam Alimohammadi
• Open Access Article
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  55 - 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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  56 - 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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  57 - Application of Extreme Value Theory in Value at Risk forecasting
  Hosein Falahtalab Mohammadreza Azizi
• Open Access Article
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  58 - 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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  59 - Spillover Effect On The On Contest Markets For Capital Market
  Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan
• Open Access Article
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  60 - Examining the Relationship Between Spot Price of an Underlying Asset and Cost of Carry of Gold Coin Futures in Iran Mercantile Exchange (IME)
  Majid Shariatpanahi Hadi Mohammadzadegan Safoora Shahini
• Open Access Article
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  61 - 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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  62 - Comparing Between Multivariate Volatility Models in Estimation of Exchange Rate and Stock Index Relationship
  Hosein Abbasinejad Shapour Mohammadi Sajad Ebrahimi
• Open Access Article
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  63 - The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach
  Seyed Mozaffar Mirbargkar Maryam Borzabadi Farahani
• Open Access Article
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  64 - 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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  65 - The Investigating of Exchange Rate Volatility Impact on Stock Market Price Efficiency and Optimization of Investment Portfolio
  Ashban Hassani Elnaz Entezar
• Open Access Article
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  66 - Heavenly Bodies and the Performance of the Tehran Stock Exchange
  Saman Haghighi Niloofar Kooklan
• Open Access Article
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  67 - 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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  68 - Modeling volatility and conditional VaR measure using GARCH models and theoretical EVT in Tehran Stock Exchange
  Saeed Fallahpoor Reza Raee Saeed Mirzamohammadi seyed mohammad hasheminejad
• Open Access Article
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  69 - Day-ahead stock price forecasting using hybrid model
  Vahid Vafaei Ghaeini Alimohammad Kimiagari
• Open Access Article
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  70 - 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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  71 - Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎
  M. Pendar M. Haji
• Open Access Article
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  72 - The study of the effective factors on investment in private sector in Iran “With emphasis on uncertainty”
  Z. Rozeei T. Akhondzadeh G. Sameei
• Open Access Article
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  73 - Bubble measurement and its contagion models in financial markets
  Vahid Mohammadi Mir feiz Fallah shams Gholamreza Zomorodian
• Open Access Article
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  74 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies
  Mirfeiz Fallahshams Bita Delnavaz
  10.22034/amfa.2019.1866320.1210
• Open Access Article
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  75 - Applying the GARCH and COPULA Models to Examine the Relationship Between Trading Volume and the Value of Trading with the Bubble Pricing
  Jalil Beytary Hossein Panahian
  10.22034/amfa.2019.581338.1152
• Open Access Article
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  76 - Modeling Energy and Steel Price Volatility and Experimental Test of Inter-Market Volatility Spillover: A Multivariate Study Using VECM and Familty GARCH Models
  Seyed Abdolhamid Bahreini Hossein Badiei Faegh Ahmadi Jahanbakhsh Asadnia
  10.22034/amfa.2022.1932695.1605
• Open Access Article
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  77 - Portfolio optimization using gray wolf algorithm and modified Markowitz model based on CO-GARCH modeling
  Fahime Jahanian Ahmad Mohammadi seyyed ali paytakhti oskooe Aliasghar Mottaghi
  10.22034/amfa.2022.1966381.1787
• Open Access Article
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  78 - Impact of Investors' Sentiments on Volatility of Stock Exchange Index in Tehran Stock Exchange
  roozbeh balounejad nouri Fatemeh bagjavany Masoumeh Amiri Hosseini
  10.22034/amfa.2023.1963410.1773
• Open Access Article
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  79 - Analyzing the Effect of Monetary Volatility on the Iranian Stock Market
  Nafiseh Vatanchi MirFaiz Falah Shams Lialestani Gholamreza Zomorodian
  https://doi.org/10.71716/amfa.2025.22091793
• Open Access Article
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  80 - The Co-movement Between Bitcoin, Gold, USD and Oil: DCC-GARCH and Smooth Transition Regression (STR) Model
  Yazdan Gudarzi Farahani Ehsan Aghari Ghara Mnasour Haghtalab
• Open Access Article
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  81 - Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry
  Alireza Khosrowzadeh Aboutorab Alirezaei Reza Tehrani Gholamreza Hashemzadeh Khourasgani
  10.22034/amfa.2019.1871644.1244
• Open Access Article
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  82 - Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model
  Nemat Rastgoo Hossein Panahian
  10.22034/amfa.2017.536263
• Open Access Article
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  83 - Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH
  Hossein Panahian Seyed Reza Ghazi Fini
  10.22034/amfa.2018.540828
• Open Access Article
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  84 - Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
  Gholamreza Zomorodian Laleh Barzegar Soghra Kazemi Mohammad Poortalebi
  10.22034/amfa.2016.527821
• Open Access Article
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  85 - The Mechanism of Volatility Spillover and Noise Trading Among Financial Markets and The Oil Market: Evidence from Iran
  Sharareh Taheri Abdolmajid Abdolbaghi Ataabadi Mohammad Hossein Arman Majid Vaziri Sarashk
  10.30495/jsm.2022.1960629.1656
• Open Access Article
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  86 - Presenting a model for stock portfolio optimization based on a combination of GARCH-copula models in Tehran Stock Exchange
  Somayeh Rasekh Amir Mohammadzadeh Mohsen Seighali
  10.30495/qrm.2024.1994609.1043
• Open Access Article
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  87 - 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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  88 - Modelling Malaysia stock markets using GARCH, EGARCH and copula models
  Nurul Hanis Aminuddin Jafry Ruzanna Razak Noriszura Ismail
  10.22094/joie.2022.1961703.1967
• Open Access Article
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  89 - The Effect of OPEC Statements on Fluctuations in Crude Oil Prices
  Fariba Shahbodaghlou Aliasghar Esmaeilnia gatabi azadeh mehrabian ROYA SEIFIPOUR
  10.30495/eco.2020.674206
• Open Access Article
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  90 - The Effect of financial and trade liberalization on stock market volatility in Selected Developing Countries: dynamic data panel approach
  sirvan aghaie Mohammad Sokhanvar tahereh akhoondzadeh
  10.30495/eco.2022.1933433.2540
• Open Access Article
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  91 - 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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  92 - 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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  93 - The Effect of Uncertainty in the Current and Constructional Governments Expenses on the Investment of Private Section in Iran Economy
  karim emami leila Ahmadi
• Open Access Article
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  94 - 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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  95 - 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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  96 - 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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  97 - 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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  98 - 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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  99 - روابط قیمتی و اثرات سرریز نوسانات قیمت در بازار برنج ایران
  محمد کاوسی کلاشمی محسن کاوسی کلاشمی
• Open Access Article
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  111 - Pricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"Approaches Pricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"Approaches
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  114 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران
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