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Volume Volume 1 (2012)
(2013). Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach. Iranian Journal of Economic Studies, 2(1), 23-48. doi: 10.22099/ijes.2013.2031
. "Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach". Iranian Journal of Economic Studies, 2, 1, 2013, 23-48. doi: 10.22099/ijes.2013.2031
(2013). 'Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach', Iranian Journal of Economic Studies, 2(1), pp. 23-48. doi: 10.22099/ijes.2013.2031
Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach. Iranian Journal of Economic Studies, 2013; 2(1): 23-48. doi: 10.22099/ijes.2013.2031

Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach

Article 2, Volume 2, Issue 1, Winter and Spring 2013, Page 23-48  XML PDF (394 K)
DOI: 10.22099/ijes.2013.2031
Receive Date: 29 February 2012,  Revise Date: 23 January 2013,  Accept Date: 23 February 2013 
Abstract
We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  The data consist of 3067 daily observations of the closing value of the Tehran stock market from 29/09/1997 to 09/09/2010. The results indicate that during the crisis period, Tehran stock exchange was in the high-volatility regime. Smoothed probability plots show that the volatility in 2007-2009 was in high volatility regime but at 2009-2010, Volatility turned to low volatility regime. Also, we have introduced an early warning system for forecasting high volatility in Tehran Stock Exchange
Keywords
Tehran Stock Market; Global Financial Crisis; Markov Switching GARCH
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