In this paper, the performance of RiskMetrics model for prediction of 1-day and 10-days value at risk were preceded in three confidence levels of 95%, 97.5% and 99%.The main data are TEDPIX Index that their fluctuations can be indicated market risk of Tehran Stock Exchange. Time series of this index has been applied from 21 March 2001 to 20 March 2010 with the total 2172 observations. As well, ...

market crash is a phenomenon which occurs in stock markets occasionally and leads to loss of the investors’ wealth and assets in a relatively short period of time. therefore, attempts for prediction of this phenomenon are of much importance for the investors, financial institutions and government. to this date, numerous and varied studies have been carried out for predicting and modeling  stock...

The stock market plays a crucial role in the context of economic development any country. To examine impact various independent factors such as currency fluctuation (in with USD), Interest rate and Inflation on Stock Indices India UK. study has been conducted for period 9 years i.e., April 2014 to March 2023. Techniques like Unit Root test, VAR, Cointegration Granger Causality Correlation Regre...

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...

For many investors, it is important to predict the future trend of abnormal stock returns. Thus, in this research, the abnormal stock returns of the listed companies in Tehran Stock Exchange were tested since 2008- 2017 using three hypotheses. The first and second hypotheses examined the non-linearity and non-randomness of the abnormal stock returns ′ trend around the release date of annual fin...

VaR and CVaR are effective quantitative measurement of market risk. These measures can quantify the risk unexpected changes within a given period. In this paper, we examine risk of four stock indices: Czech PX, Austrian ATX, London FTSE, American S&P 500. First, returns these indices approximated using two distributions showing semi-heavy tails: t- distribution normal inverse Gaussian dis...