List of Articles GARCH

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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 - Evaluation the Management to Control The Liquidity Money by Central Bank in Iran
  رویا آل عمران سید علی آل عمران
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  3 - 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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  4 - 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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  5 - 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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  6 - 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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  7 - 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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  8 - 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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  9 - 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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  10 - 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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  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 - 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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  16 - 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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  17 - 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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  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 - 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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  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 - 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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  22 - Exchange Rate Optimal Hedge Ratio by Gold Futures in Iran
  Rasool Sajad Adena Torosian
• Open Access Article
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  23 - 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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  24 - 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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  25 - The relationships between market beta with macroeconomic variables and accounting information
  Ali Rahmani Kambiz Peikarjoo Mansoureh Azizi
• Open Access Article
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  26 - 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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  27 - 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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  28 - 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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  29 - Application of Extreme Value Theory in Value at Risk forecasting
  Hosein Falahtalab Mohammadreza Azizi
• Open Access Article
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  30 - 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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  31 - Economic Cycle and Symmetric Volatility of Financial Market Returns: Study of Emerging Economies
  Saeed Moradpour Reza Tehrani Seyed Mojtaba Mirlohi Ezatolah Abbasian
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  32 - 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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  33 - Heavenly Bodies and the Performance of the Tehran Stock Exchange
  Saman Haghighi Niloofar Kooklan
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  34 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies
  Mirfeiz Fallahshams Bita Delnavaz
  10.22034/amfa.2019.1866320.1210
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  35 - 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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  36 - Analyzing the Effect of Monetary Volatility on the Iranian Stock Market
  Nafiseh Vatanchi MirFaiz Falah Shams Lialestani Gholamreza Zomorodian
  10.22034/amfa.2023.1966543.1793
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  37 - 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
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  38 - 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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  39 - 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
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  40 - 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
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  41 - 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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  42 - 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
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  43 - 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
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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
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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
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  46 - روابط قیمتی و اثرات سرریز نوسانات قیمت در بازار برنج ایران
  محمد کاوسی کلاشمی محسن کاوسی کلاشمی
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  47 - Inflation, Inflation Uncertainty and Output Growth in Iran
  Elham Farnaghi Oranous Parivar Hamid Tofighi
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  48 - Comparing the Relationship between Inflation and Inflation Uncertainty in Iran and Three OPEC Members
  Elham Farnaghi Oranus Parivar Hamid Tofighi
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  49 - بررسی تأثیر نااطمینانی تورم بر ساختار سرمایه شرکتهای پذیرفته شده در بورس اوراق بهادار تهران
  رضا تهرانی سارا نجف زاده خویی
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  50 - 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
  Nafishe Baharadmehr Narges Tahmasabi
  10.30495/fed.2022.697605
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  51 - 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
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  52 - Investigating the asymmetric effects of high-frequency transactions on the returns of companies listed on the Tehran Stock Exchange (using the MS-EGARCH model)
  Alireza Zafarpour Ahmed Sarlak Gholam Ali Haji
  10.30495/fed.2023.707998
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  53 - 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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  54 - Effects oF Accruals Qulity on Conditional Volatility
  سلاله فیض اللهی کسینی مریم لشکری زاده
• Open Access Article
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  55 - Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange
  mohammad jouzbarkand hosein panahian
• Open Access Article
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  56 - Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models)
  Mehdi Zolfaghari Bahram Sahabi Mohamad javad Bakhtyaran
• Open Access Article
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  57 - 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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  58 - Volatility Spillover in the financial markets of Iran (Method of VAR-GARCH models)
  soqra razi kazemi gholamreza zomorodian Ebrahim Chirani
• Open Access Article
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  59 - Designing a model for predicting bitcoin returns (with emphasis on hybrid models of convolutional and recursive neural networks and models with long-term memory)
  Mohammad Javad Bakhtiaran Mehdi Zolfaghari
• Open Access Article
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  60 - Designing a Model for Forecasting the Gold Price Returns (Emphasizing on Combined convolutional neural network Models and GARCH Family Models)
  Mohammad Javad Bakhtiaran mehdi Zolfaghari
• Open Access Article
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  61 - 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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  62 - The influence of the Iranian stock market on the volatility of the stock market of trading partners in the MENA region
  Seyed Mohammad Reza Khatami Gholam Reza Zomorodian Mir Feiz Fallah Mehrzad Minouei
• Open Access Article
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  63 - Investigating and analyzing the spillover effects of stock market in interaction with currency, gold-coin, crude oil and housing markets: VARMA-BEKK-AGARCH Approach
  mohammadbagher mohammadinejad pashaki seyed jalal sadeghi sharid Mohammad Eqbalnia
• Open Access Article
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  64 - Study in order to measure nexus and spillover effects from world commodities to Tehran overall stock index: A VAR-BEKK-GARCH Approach
  mohammadbagher mohammadinejad pashaki seyyed jalal sadeghi sharif Mehdi Zolfaghari Mohammad Eqbalnia
• Open Access Article
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  65 - 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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  66 - Providing a model of trading volume relationships, transaction value with stock returns and price bubbles in different industries of Tehran Stock Exchange by using COPPOLA functions and GARCH models
  jalil beytari hosein panahian
• Open Access Article
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  67 - Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks
  elaheh sefidbakht Mohammad Hossein Ranjbar
• Open Access Article
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  68 - The Effect of Exchange Rate Fluctuations on the Stock Return Risk of Mining, Automotive and Cement Index based on the Regime Transmission of Markov
  Mehdi Zolfagari Bahram Sahabi
• Open Access Article
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  69 - Forecasting Volatility & Risk Management in Tehran Stock Exchange through Long memory impacts
  ehsan Taiebysani Madihe Changi Ashtiani
• Open Access Article
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  70 - 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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  71 - A Markov regime-switching model for crude-oil market fluctuations
  mohammadreza Rostami maryam naghavipour maryam Moghaddasbayat
• Open Access Article
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  72 - Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract
  ali rostami Gholamreza Zomordian Meysam Alimohammadi
• Open Access Article
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  73 - 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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  74 - Examining the overflow of financial stress index fluctuations on inflation, interest rate, liquidity and industry index using GARCH-BEKK and VAR models and Granger causality
  Rohollah Rezazadeh Mirfeiz Falah
• Open Access Article
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  75 - 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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  76 - The Impact of Subsidies Targeting on Iranian Sugar Industry
  حسن Khodavaisi هدایت Montakhab M. M Azizi
• Open Access Article
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  77 - Spillover Effects of Meat Prices Volatility in Iran
  M. کاوسی کلاشمی P. KH
• Open Access Article
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  78 - Analysing the Effective Factors of Corn Price in Iran Mercantile Exchange
  Behzad Fakary Sardahaei Naser Shahnoushi Hosein Mohammadi Akbar Mirzapour Arash Dourandish