Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH

محورهای موضوعی : Financial Mathematics

Hossein Panahian ¹ , Seyed Reza Ghazi Fini ²

1 - Department Of Accounting , Kashan Branch , Islamic Azad University , Kashan , Iran
2 - Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran

تاریخ دریافت : 1397/03/30 تاریخ پذیرش : 1397/03/30 تاریخ انتشار : 1397/03/11

کلید واژه: Stock Return, volatility, PANEL-GARCH Model,

چکیده مقاله :

Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the benefit of high process accuracy, suggesting that the evaluation of the similarity in the volatility of return at the level of market or industry constituent units is better than the simple technique of time series GARCH model for the entire market (instead of evaluation at unit levels). Therefore, the present study intends to investigate complete similarities or differences in the volatility of return in Iran's industries. Results showed that the assumption of complete difference in the volatility of return in the industries did not hold. The results of this process for Iran's industries covering the timespan between 16/2/2013 to 18/3/2017 showed that there are similarities in terms of the y-intercept of conditional mean and variance equations (1.1) PANEL-GARCH between the volatility of stock returns of 23 industries in the Tehran Stock Exchange as confirmed by LRT test.

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