10.22099/ijes.2013.2031
چکیده
این مقاله با استفاده از رهیافت مارکوف سوییچینگ گارچ یک سیستم هشدار پیش از وقوع را باتوجه به رژیم‌های تلاطمی بازار سهام تهران معرفی می‌نماید. این تحقیق این مسئله را آزمون می‌کند که آیا بازار سهام تهران به آرامش رسیده است یا با صراحت بیشتر، آیا موج تلاطم بحران مالی جهانی 2007-2010 همچنان بر تلاطم بازدهی بازار ایران اثرگذار می‌باشد. برای انجام این کار، از مدل مارکوف سوییچینگ گارچ استفاده شده است. داده‌ها شامل 3067 مشاهده آخرین شاخص قیمت روزانه بازار سهام تهران از 29/09/1997 تا 09/09/2010 است. نتایج حاکی از آن است که بازار سهام تهران در دوره بحران در رژیم تلاطم بالا قرار داشته است. نمودار احتمال هموار نشان می‌دهد که تلاطم در 2007-2009 در رژیم تلاطم بالا بود، ولی در 2009-2010 بسوی رژیم تلاطم پایین چرخش نموده است. همچنین، ما سیستم هشدار پیش از وقوعی را برای پیش بینی تلاطم در بازار سهام تهران معرفی نموده‌ایم
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