Shahid Beheshti University Financial Management Perspective 2645-4637 12 39 2022 09 27 Investigating the Volatility Persistence in Tehran Stock Exchange Investigating the Volatility Persistence in Tehran Stock Exchange 9 31 102769 10.52547/jfmp.12.39.9 FA Moslem Nilchi Ph.D. Candidate in Financial Engineering, Yazd Universtity, Yazd, 0000-0001-8946-4693 Daryush Farid Associate Prof, Department of Accounting and Finance, Yazd University, Yazd, Iran. 0000-0002-2061-0776 Moslem Peymani Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. 0000-0002-4003-8295 Hamidreza Mirzaei Assistant prof, Department of Accounting and Finance , Yazd University, Yazd.Iran Journal Article 2022 03 21 One of the important factors affecting the participation of investors in the stock market is the existence of information about the trends and price volatility of this market. In the past years, the economic sanctions and the Covid-19 epidemic have affected the Iran stock market. The continuous decrease of the stock market index is one of the consequences of volatility persistence waves caused by these events. Some financial theories have shown that the decline in stock prices can be caused by the existence of a unit root in the volatility of the market's price returns. In this research, the hypothesis of the drop in stock prices due to the presence of a unit root in the volatility was investigated with the data of the Tehran Stock Exchange index between 2016.September.21 to 2022.March.19 and using the stochastic volatility model introduced by Su and Lee (1999). The findings of this paper indicate that the posterior estimate of the coefficient of ϕ in the Stochastic volatility model is equal to one, therefore, it is not possible to reject the inappropriate performance of the market and the hypothesis of the fall of the Tehran Stock Exchange index as a result of the volatility persistence. One of the important factors affecting the participation of investors in the stock market is the existence of information about the trends and price volatility of this market. In the past years, the economic sanctions and the Covid-19 epidemic have affected the Iran stock market. The continuous decrease of the stock market index is one of the consequences of volatility persistence waves caused by these events. Some financial theories have shown that the decline in stock prices can be caused by the existence of a unit root in the volatility of the market's price returns. In this research, the hypothesis of the drop in stock prices due to the presence of a unit root in the volatility was investigated with the data of the Tehran Stock Exchange index between 2016.September.21 to 2022.March.19 and using the stochastic volatility model introduced by Su and Lee (1999). The findings of this paper indicate that the posterior estimate of the coefficient of ϕ in the Stochastic volatility model is equal to one, therefore, it is not possible to reject the inappropriate performance of the market and the hypothesis of the fall of the Tehran Stock Exchange index as a result of the volatility persistence. https://jfmp.sbu.ac.ir/article_102769_aeed32ad208d359c1a26cdf6e770443a.pdf