This study examines the impacts of real exchange rate fluctuations on the companies' strategic investments in Iran. The data of 92 listed companies in Tehran Stock Exchange during the period of 2002-2015areused. First, the volatility of exchange rate is estimated by the Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The model is estimated by GMM and system GMM methods. The r...

In this paper the scale mixture of Gaussian distribution is used to model the stock return data in financial market. There are many volatility models and forecasting methods. Some of the models are Historical volatility models, Implied volatility models, Autoregressive Conditional Heteroskedasticity models, models based on Artificial Neural Network. All these models are direct models. In these ...

The volatility dynamics of foreign exchanges have been the focus of research since Bollerslev’s (1986) seminal work on the generalized autoregressive conditional heteroscedasticity (GARCH) modelling. Several well-established empirical regularities may be highlighted as follows: [a] evidence of volatility clustering is detected in the exchange rates returns; [b] asymmetric effects in exchange ra...

In the empirical analysis of financial time series, multivariate GARCH models have been used in various forms. As it is typical for nonlinear models there is yet no unique framework available to uncover dynamic covariance relationships for vector return processes. We introduce a new concept of impulse response functions tracing the effects of independent shocks on volatility through time. The a...

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compared with existing models. We extend the new specification to realized volatility by taking account of measurement errors, and use the Efficient Importan...

Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...