List of Articles GARCH Model

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Evaluation the Management to Control The Liquidity Money by Central Bank in Iran
  رویا آل عمران سید علی آل عمران
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - 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
  • Abstract Page
  • Full-Text
  
  3 - 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
  • Abstract Page
  • Full-Text
  
  4 - Comparing of Bayesian Model Selection Based on MCMC Method and Finance Time Series(GARCH Model)
  محمدرضا صالحی راد نفیسه حبیب یفرد
• Open Access Article
  • Abstract Page
  • Full-Text
  
  5 - 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
  • Abstract Page
  • Full-Text
  
  6 - 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
  • Abstract Page
  • Full-Text
  
  7 - Forecasting Petroleum Futures Markets Volatility with GARCH and Markov Regime-Switching GARCH Models
  مرتضی بکی حسکوئی فاطمه خواجوند
• Open Access Article
  • Abstract Page
  • Full-Text
  
  8 - 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
  • Abstract Page
  • Full-Text
  
  9 - The Study of Volatility Trend in Tehran’s Stock Exchange
  سید علی آل عمران رویا آل عمران
• Open Access Article
  • Abstract Page
  • Full-Text
  
  10 - 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
  • Abstract Page
  • Full-Text
  
  11 - Investigating the causality direction between saffron cash and futures markets focusing on periods of boom and recession
  Javad Ghiyasi Mohammadtaher AhmadiShadmehri
• Open Access Article
  • Abstract Page
  • Full-Text
  
  12 - The study of effective economic factors on trade openness in IRAN under stable and nonstable conditions
  Mohammadreza Mohammadvand Nahidi Parisa Sagezchi
• Open Access Article
  • Abstract Page
  • Full-Text
  
  13 - Evaluation of RGARCH Model to Estimate the Conditional Variance of Tehran Stock Exchange Index
  Mohamad Amin Zabol Esmaiel Abounoori
• Open Access Article
  • Abstract Page
  • Full-Text
  
  14 - 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
  • Abstract Page
  • Full-Text
  
  15 - 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
  • Abstract Page
  • Full-Text
  
  16 - 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
  • Abstract Page
  • Full-Text
  
  17 - Exchange Rate Optimal Hedge Ratio by Gold Futures in Iran
  Rasool Sajad Adena Torosian
• Open Access Article
  • Abstract Page
  • Full-Text
  
  18 - 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
  • Abstract Page
  • Full-Text
  
  19 - Efficiency comparison among GARCH models in modeling and liquidity measurement. Case study: Tehran Stock Exchange
  Mirfeyz Fallah Shams Yagoub Panahi
• Open Access Article
  • Abstract Page
  • Full-Text
  
  20 - Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index
  Mehrdokht Mozaffari Hashem Nikoomaram
• Open Access Article
  • Abstract Page
  • Full-Text
  
  21 - 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
  • Abstract Page
  • Full-Text
  
  22 - 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
  • Abstract Page
  • Full-Text
  
  23 - Heavenly Bodies and the Performance of the Tehran Stock Exchange
  Saman Haghighi Niloofar Kooklan
• Open Access Article
  • Abstract Page
  • Full-Text
  
  24 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies
  Mirfeiz Fallahshams Bita Delnavaz
  10.22034/amfa.2019.1866320.1210
• Open Access Article
  • Abstract Page
  • Full-Text
  
  25 - 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
  • Abstract Page
  • Full-Text
  
  26 - 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
  • Abstract Page
  • Full-Text
  
  27 - 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
  • Abstract Page
  • Full-Text
  
  28 - 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
  • Abstract Page
  • Full-Text
  
  29 - 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
  • Abstract Page
  • Full-Text
  
  30 - 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
  • Abstract Page
  • Full-Text
  
  31 - روابط قیمتی و اثرات سرریز نوسانات قیمت در بازار برنج ایران
  محمد کاوسی کلاشمی محسن کاوسی کلاشمی
• Open Access Article
  • Abstract Page
  • Full-Text
  
  32 - Inflation, Inflation Uncertainty and Output Growth in Iran
  Elham Farnaghi Oranous Parivar Hamid Tofighi
• Open Access Article
  • Abstract Page
  • Full-Text
  
  33 - Comparing the Relationship between Inflation and Inflation Uncertainty in Iran and Three OPEC Members
  Elham Farnaghi Oranus Parivar Hamid Tofighi
• Open Access Article
  • Abstract Page
  • Full-Text
  
  34 - 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
  • Abstract Page
  • Full-Text
  
  35 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies Listed in the Tehran Stock Exchange
  Bita delnavaz mirfeiz fallah
• Open Access Article
  • Abstract Page
  • Full-Text
  
  36 - Effects oF Accruals Qulity on Conditional Volatility
  سلاله فیض اللهی کسینی مریم لشکری زاده
• Open Access Article
  • Abstract Page
  • Full-Text
  
  37 - Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange
  mohammad jouzbarkand hosein panahian
• Open Access Article
  • Abstract Page
  • Full-Text
  
  38 - Investigate the effectiveness of gold coin dealing to hedge the risk of stock price volatility
  Soheila Hoghooghi Mohammad Ebrahim Aghababaei
• Open Access Article
  • Abstract Page
  • Full-Text
  
  39 - Volatility Spillover in the financial markets of Iran (Method of VAR-GARCH models)
  soqra razi kazemi gholamreza zomorodian Ebrahim Chirani
• Open Access Article
  • Abstract Page
  • Full-Text
  
  40 - 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
  • Abstract Page
  • Full-Text
  
  41 - 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
  • Abstract Page
  • Full-Text
  
  42 - 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
  • Abstract Page
  • Full-Text
  
  43 - 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
  • Abstract Page
  • Full-Text
  
  44 - 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
  • Abstract Page
  • Full-Text
  
  45 - 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
  • Abstract Page
  • Full-Text
  
  46 - Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks
  elaheh sefidbakht Mohammad Hossein Ranjbar
• Open Access Article
  • Abstract Page
  • Full-Text
  
  47 - 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
  • Abstract Page
  • Full-Text
  
  48 - 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
  • Abstract Page
  • Full-Text
  
  49 - 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
  • Abstract Page
  • Full-Text
  
  50 - 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
  • Abstract Page
  • Full-Text
  
  51 - The Impact of Subsidies Targeting on Iranian Sugar Industry
  حسن Khodavaisi هدایت Montakhab M. M Azizi
• Open Access Article
  • Abstract Page
  • Full-Text
  
  52 - Spillover Effects of Meat Prices Volatility in Iran
  M. کاوسی کلاشمی P. KH