پیش بینی نوسانات قیمت آتی سکه طلا در بورس کالای ایران با استفاده از روش های پارامتریک

نوع مقاله : مقاله پژوهشی

نویسندگان

1 معاون تحصیلات تکمیلی دانشکده مدیریت و حسابداری دانشگاه شهید بهشتی

2 imam sadegh university

3 beheshti university

4 عضو هیئت علمی دانشگاه ایالتی کالیفرنیا

5 دانشکده مدییت و حسابداری دانشگاه شهید بهشتی

چکیده

ﯾﮑﯽ از ﻣﻬﻢﺗﺮﯾﻦ ﻣﻮﺿﻮﻋﺎت ﺑﺎزارﻫﺎی ﻣﺎﻟﯽ در دﻫﻪﻫﺎی اﺧﯿﺮ پیش بینی ﺑﻮده اﺳﺖ. ﻣﻬﻢﺗـﺮﯾﻦ ﻫـﺪف اﯾـﻦ ﺗﺤﻘﯿـﻖ، پیش بینی نوسانات قیمت آتی سکه طلا در بورس کالای ایران است.
در این تحقیق اقدام به برآورد و پیش‌بینی چهار دسته مدل‌های گارچ متقارن (GARCH) گارچ نمایی، FIGARCHو گارچ چند رژیمه با سه نوع توزیع نرمال، توزیع T و توزیع GED پرداخته ‌شده است. بر اساس خطای مدل در پیش بینی نوسانات کاراترین مدل جهت پیش بینی نوسانات در بازار آتی طلا ﻣﺪل ﻣﺎرﮐﻮف ﺳﻮﺋﯿﭽﯿﻨﮓ ﮔﺎرچ (MS-E-GARCH) گزارش گردید.
ﻧﺘﺎﯾﺞ ﺑﺮآورد ﻣﺪل ﻣﺎرﮐﻮف ﺳﻮﺋﯿﭽﯿﻨﮓ ﮔﺎرچ (MS-E-GARCH)، ﻧﺸﺎن ﻣـﯽ‌دﻫـﺪ نوسانات بازار سکه آتی قابلیت پیش بینی را دارد و در نتیجه نوسانات ﺑـﺎزار قیمت سکه آتی در ﻫﺮ دو رژﯾﻢ ﭘﺮﻧﻮﺳﺎن و ﮐﻢﻧﻮﺳﺎن از ﮐﺎراﯾﯽ ﺿﻌﯿﻒ ﺑﺮﺧﻮردار ﻧﯿﺴﺖ و ﻣﯽﺗﻮان در اﯾـﻦ ﺑـﺎزار ﺑـﻪ ﺳﻮدﻫﺎی ﺳﯿﺴﺘﻤﺎﺗﯿﮏ دﺳﺖ ﯾﺎﻓﺖ. بر اساس نتایج تحقیق دقت مدل (MS-E-GARCH) در حالت توزیع GED نسبت به سایر مدل‌ها بالاتر است.

کلیدواژه‌ها


عنوان مقاله [English]

Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods

نویسندگان [English]

  • mohamad esmail fadainejad 1
  • ali saleabadi 2
  • gholamhosein asadi 3
  • mohamad taghi vaziri 4
  • hasan taati kashani 5
1 beheshti university
2 imam sadegh university
3 beheshti university
4 california uited univesity
5 Beheshti university
چکیده [English]

One of the most important topics in financial markets in recent decades is the forcasting. The main purpose of this study is to forcast volatility future prices.
In this research, four groups of symmetric GARCH (GARCH), exponential GARCH, FIGARCH and multi-regime GARCH models have been estimated and forecasted using normal distribution, t-distribution and GED distribution. According to the model error for forecasting fluctuations, the Markov Switching GARCH model (MS-E-GARCH) is reported to be the most efficient model to forecast the fluctuations in the gold coin futures market.
The results of the estimation by the Markov Switching GARCH model (MS-E-GARCH) show that fluctuations of gold coin futures market are predictable; and as a result the gold coin futures prices do not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this market. According to the results of the study, the accuracy of MS-E-GARCH model is higher for GED distribution in comparison with other models.

کلیدواژه‌ها [English]

  • Futures market
  • Fluctuation
  • Markov-switching GARCH
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