Analyzing volatility of Tehran stock exchange using MSBVAR-DCC model

Document Type : Original Article

Authors

1 Institute of Economic Research Alzahra

2 Alzahra

3 Allameh

Abstract

The goal of this research is to represent a Granger causal analyzing and its application in stock exchange. In order to do that, free float index of stock exchange, exchange rate(Rial in terms of Dollar), OPEC basket price(barrel per Dollar), gold price(Ounce in terms of Dollar) time series are selected to study Iran financial market interaction with domestic market(exchange rate) and international markets(oil and gold). Daily data cover the period that taking office by new presidency occured, also important domestic and international events such as efforts for realization of resistive economy, downfall oil price, middle east tension and Joint Comprehensive Plan of Action. Causal analyzing implements by using MSBVAR-DCC model and Bayesian approach. According to odds ratio, the variables are non-causal in conditional ratio, there is causal relation in conditional variance from the variables to financial variable. Therefore, oil, exchange rate and gold volatility includes exclusive information for stock index volatility. Consequently, shocks and past volatility of stock index lonely are not sufficient for volatility specification of the variable and using domestic market and international markets volatility information is strongly suggested.

Keywords

References

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