A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index

محورهای موضوعی : Financial and Economic Modelling

Navid Nasr ¹ , Morteza Farhadi Sartangi ² , Zahra Madahi ³

1 - Department of Industrial and Mechanical Engineering , Qazvin Branch.,Islamic Azad University
2 - Department of Industrial Engineering, Payam Noor University (PNU), P. O .Box 19395-3697 Tehran, Iran
3 - Department of Accounting, Islamic Azad Univery

تاریخ دریافت : 1397/11/08 تاریخ پذیرش : 1397/11/25 تاریخ انتشار : 1397/12/10

کلید واژه: GK model, random walk, Tehran stock exchange index, Fuzzy system,

چکیده مقاله :

Study of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange markets. This research first deals with the evaluation of 8 various models to forecasting volatility of stock index using daily data of Tehran stock exchange. The used models include simple ones such as random walk as well as more complex models like Arch and Garch group. Forecasting volatility index method is developed in this paper. This method is based a random walk using a fuzzy logic approach. This method is used to fore-casting volatility of Iran stock exchange index. The proposed method is assessed by comparing other methods such as Moving Average, Random walk… Results show that our proposed method is compatible with existent methods.

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