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Zahra Mila Elmi

Academic rank: Professor
ORCID:
Education: PhD.
ScopusId:
Faculty: Faculty of Economics and Administrative Sciences
Address:
Phone: 09112153929

Research

Title
Has Tehran Stock Market Calmed Down After Global Financial Crisis? Markov Switching GARCH Approach
Type
JournalPaper
Keywords
Tehran Stock Market, Global Financial Crisis, Markov Switching GARCH.
Year
2013
Journal Iranian journal of Economics Studies
DOI
Researchers Esmaiel Abounoori ، Zahra Mila Elmi ، younes nademi

Abstract

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007- 2010 global financial crises still affects stock return volatility in Iran. Doing so, we have used a regime switching GARCH model. The data consist of 3067 daily observations of the closing value of the Tehran stock market from 29/09/1997 to 09/09/2010. The results indicate that during the crisis period, Tehran stock exchange was in the high-volatility regime. Smoothed probability plots show that the volatility in 2007-2009 was in high volatility regime but at 2009-2010, Volatility turned to low volatility regime. Also, we have introduced an early warning system for forecasting high volatility in Tehran Stock Exchange.