Mathematical Analysis of Impact of Oil, Gold and Currency on Tehran Stock Exchange

Abolfazl Biglar Beigi
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Abolfazl Biglar Beigi: IASBS - Institute for Advanced Studies in Basic Sciences [Zanjan]

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Abstract: The use of economic factors has led to a lot of research on the behavior of stock markets. These economic factors can be evaluated simultaneously using statistical tools called joint. The present paper examines the impact of global oil, Currency (Dollar) and gold prices on the Tehran Stock Exchange, using conditional heteroscedastic Models. indeed, we used autoregressive conditional heteroscedastic (ARCH), the generalized ARCH (GARCH) to capture behavior of the volatility. Actual data of years obtained from the Iran Market is used to t the models.

Keywords: TSE; Volatility models; Time series; Autoregressive conditional heteroscedastic; Generalized autoregressive conditional heteroscedastic (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ara and nep-ene
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Published in International Research Journal of Engineering and Technology, 2018, 5 (9), pp.513-519

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02093480

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