Forecasting the Volatility of the Tehran Stock Market Index Using ARCH Models Family
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 6, Issue 8
Abstract
In this study, the function of predicting conditional fluctuation models (5 models) for predicting the total index of Tehran Stock Exchange has been evaluated by using the root-mean-square errors criteria, the mean absolute value of errors and the mean absolute value of errors percentage. The used data of this study is a daily time series of total stock price index from the beginning of the year 2006 to the end of the year 2010. The estimation was done using the Excel and EViews7 software. The results show that the root-mean-square errors of different modeling (ARCH family) is very close to each other and the other criteria are also equal for different modeling. The ARCH family models results furthermore show that ability of predicting GARCH, EGARCH, GJR, PGARCH and CGARCH models in the prediction of total index of Tehran Stock Exchange are both equal and there is no significant difference between their predictions.
Authors and Affiliations
Tooran Habibi *| Master of Accounting, Islamic Azad University Baghmalk, izeh, Iran, email: habibi. accounting @ yahoo.com, Mehran Habibi| Master of Public Administration, Islamic Azad University Baghmalk, izeh, Iran, Farhad Gheisari| PhD student in Public Administration, Islamic Azad University Ramhormoz, Ramhormoz, Iran
Keywords
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