Volatility Analysis and Volatility Spillover Analysis of Indonesia's Coffee Price Using Arch/Garch, and Egarch Model

Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

price volatility spillover effects in beef market of tehran province

the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

Global Climate Change, Fair Trade, and Coffee Price Volatility

Fair Trade coffee sales have grown exponentially over the past fifteen years amidst a volatile and shaky coffee commodity market. This paper incorporates the prior research that global climate change will lead to more climate shocks with research on the coffee market’s volatility and farmer welfare. In accordance with prior research on commodity volatility, I develop an OLS estimator of the vol...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

effect of oil price volatility and petroleum bloomberg index on stock market returns of tehran stock exchange using egarch model

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...