1403/01/10

زهرا میلا علمی

مرتبه علمی: استاد
ارکید:
تحصیلات: دکترای تخصصی
اسکاپوس:
دانشکده: دانشکده علوم اقتصادی و اداری
نشانی:
تلفن: 09112153929

مشخصات پژوهش

عنوان
The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets
نوع پژوهش
JournalPaper
کلیدواژه‌ها
Structural Changes, Volatility, Shock Transmission, Spillover Effect, Modified ICSS Algorithm, GARCH Process.
سال
2014
مجله Iranian Economic Review
شناسه DOI
پژوهشگران Mohammad Mahdi Shahrazi ، Zahra Mila Elmi ، Esmaiel Abounoori ، Saeed Rasekhi

چکیده

the increasing integration of financial markets has generated strong interest in understanding the interaction between these markets. The direction of shock transmission and volatility Spillover from one market to another may affect by structural changes in volatility. However, a shortcoming of traditional GARCH models is that ignore these structural changes. This study investigates the effect of structural changes in volatility on shock transmission and volatility Spillover among Iranian gold and foreign exchange markets during 2007-2013. For this purpose, first we detect the time points of structural breaks in volatility of gold and exchange rate returns endogenously using the modified iterated cumulative sums of squares algorithm. Then, we incorporate this information to modeling volatility process. The results of applying bivariate GARCH model in off-diagonal BEKK parameterization suggest that volatility spillover among Iranian gold and foreign exchange markets is bidirectional but shock transmission is unidirectional from the gold market to the foreign exchange market. Based on findings, ignoring structural breaks in volatility mislead the researcher about the dynamics of shocks and volatilities among these two important markets.