مقایسه تطبیقی پیش‌بینی تلاطم پذیری قیمت سهام با روش گارچ و گارچ بوت استرپ

نوع مقاله : مقاله پژوهشی

نویسندگان

گروه مدیریت، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران اهواز، اهواز ، ایران

چکیده

با توجه به اهمیت اندازه‌گیری نوسانات در ارزیابی ریسک و دو ویژگی تلاطم خوشه­ای و کشیدگی در سری­های زمانی در این پژوهش به ارائه روشی جهت پیش‌بینی برون­نمونه‌ای نوسان قیمت سهام با استفاده از روش گارچ و گارچ بوت استرپ پرداخته شده است. داده­های تحقیق، 50 شرکت برتر بازار اوراق بهادار، با توجه به مقایسه بازه­های اطمینان حاصل از دو روش مذکور و ارزیابی پیش بینی با استفاده از ضرایب تخمینی بوت استرپ، نتایج حاصل از 500 بار نمونه گیری مجدد حاکی از آن است که بازه اطمینان روش گارچ بوت استرپ از بازه اطمینان روش گارچ، کوتاه‌تر است، لذا روش گارچ بوت استرپ پیش­بینی دقیق­تری نسبت به روش گارچ ارائه می­دهد. معمولاً انتظار بر این است که با افزایش افق زمانی پیش‌بینی واریانس افزایش یابد اما در مورد روش گارچ (1,1) چنین حالتی رخ نمی‌دهد؛ لذا پیش‌بینی با استفاده از روش گارچ بوت استرپ سازگاری بیش­تری با شواهد تئوریک دارد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Comparative Comparison of Stock Price Volatility Estimation by Garch and Bootstrap Garch

نویسندگان [English]

  • Rahim Ghasemiyeh
  • Hasanali Sinaei
  • abdolhosein Neysi
  • Zahra chaharlangi sardarabadi
Department of Management,, Faculty of Economic and Social Sciences, Shahid Chamran University of Ahvaz,, Ahvaz, Iran
چکیده [English]

Since volatility measurement plays an important role in risk assessment and uncertainty in financial markets, this study provides an appropriate method for predicting stock pricefluctuations using the GARCH and Bootstrap Garch method. And then compare the confidence intervals by the two methods. The research data were collected by reviewing the statistics of the companies listed in the list of the top 50 companies in the securities market. The results show that the confidence interval of the Bootstrap Garch method is shorter than the Garch method,so the Bootstrap Garch method provides a more accurate prediction than the GARCH method. In addition, it is usually expected to increase with the increase in horizons of prediction of variance, but this does not occur for the Garch (1.1) method; therefore, it seems that the prediction of the variance of the Bootstrap GARCH model has more compatibility with theoretical evidence.

کلیدواژه‌ها [English]

  • Confidence interval
  • Bootstrap
  • GARCH
  • Volatility
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