This paper investigates the asymmetry in volatility of returns for the Iranian stock market using the daily closing values of the Tehran exchange price index (TEPIX) covering the period from March 25, 2001 to July 25, 2012, with a total of 2743 observations. To this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric GARCH (1,1) model. The...

This paper studies the presence of day-of-the-week (DOW) effect in financial contagion process observed on individual economic sectors from Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout 2008 crisis are Poland, Romania and Russia. novel methodology combines two existing perspectives literature, by employing a GJR-GARCH ...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) model dependence structure underlying assets with some selected listed stock indices. We filtered return residuals using stochastic volatility GJR-GARCH (1,1) models different distributions, we best-fitted in ...