Dissertations

Defended Dissertation:

2017-08-20 Date
1706 Thesis ID
Seyedali Seyedali Student
Volatility trasmission and contemporaneous spill-over among stock market, exchange rate and gold in Iran Title

Different commodity markets and types of financial assets get volatility in economic condition. In many cases, the volatility transmits from one market to another. Studying volatility spill-over among equity, exchange and gold markets is this research main purpose. Modeling volatility contemporaneous transmission between above-mentioned markets has been done by using structural vector autoregressive (SVAR) model and maximum likelihood estimation method. Impulse response functions whit shock effects timing implied that shock effects of variables on each other will be eliminated offer six months. After ensuring the absence of variance heteroskedastisity in residual series with Engel's ARCH test, the results of the model regression with conditional GARCH for SVAR model residuals show variables significantly depend on one period lag. In SVAR model the correlation between dollar and gold coin during the time is approximately equal to one and the correlation between index and dollar as well as index and gold coin is almost equal. In order to evaluate news effects and each of the three variables shocks on each other using variance decomposition method whit structural approach, spill-over volatility among the three variables have been reviewed. The major share of the prediction error variance or shock effects at TSE index in long term, were originated from TSE index then dollar and gold coin had the highest share respectively. Finally, the most volatility effect of gold coin was explained by using dollar.

Abstract

Professors:

Dr. Reza Tehrani Primary Adviser:
Secondary Adviser:
Dr. seyed mojtaba mir lohi Primary Consultant:
Dr. saeid bajlan Secondary Consultant:

Alborz Campus

تماس با ما

تلفن: ۳۲۸۲۹۰۶۰-۰۲۶
گذاشتن پيغام: فرم

كرج، بعد از پل فرديس، به طرف جاده ملارد، بعد از پمپ بنزين باران، شهرك بنفشه، انتهاي بلوار شرقي، ابتداي بلوار شمالي، پلاك ۳۳۸

آمار وب سايت

توجه

تمامي حقوق براي پرديس البرز دانشگاه تهران محفوظ است. بازنشر اطلاعات اعم از اخبار صفحات وب سايت با ذکر منبع بدون اشکال است. ارجاع به پايان نامه هاي دانشجويي بايد قالب استاندارد علمي انجام شود.