Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model
This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector indexes, it is important for financial market...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2012-07-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_36628_3dbb24322744cda445e3920e80a50fdf.pdf |