Comparing of Volatility Transmission Model with Consideration of Long Memory Effect; Case Study: Three Selected Industry Index | ||
| تحقیقات مالی | ||
| Article 4, Volume 15, Issue 1, September 2013, Pages 51-74 PDF (803.01 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.22059/jfr.2013.35432 | ||
| Authors | ||
| Seyed Mohammad Seyedhosseini1; Seyed Babak Ebrahimi* 2 | ||
| 1Prof., College of Industrial Engineering, Iran University of Science and Technology (IUST), Tehran, Iran | ||
| 2Ph.D. Student in Industrial Engineering, Iran University of Science and Technology (IUST), Tehran, Iran | ||
| Abstract | ||
| When the past observations are correlated with future observations and their correlation is significant, the time series has long memory. In this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated. The basic model is BEKK (1, 1) and FBEKK (1,d,1), Model extended long-run memory parameter (d) is considered and estimated. Furthermore in this paper price index of three industries in Tehran Stock Exchange consisting Automobile and Accessories Industry index, Financial Intermediaries (Leasing) and Machinery and Equipment index is employed in empirical modeling. The results indicates that FBEKK (1, d, 1) is more precise and compatible with basic Theories in Economics. | ||
| Keywords | ||
| Return; Volatility; Long memory; BEKK; FBEKK | ||
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