نوع مقاله : مقاله علمی پژوهشی
نویسندگان
1 استاد دانشگاه علم و صنعت ایران، دانشکده مهندسی صنایع، تهران، ایران
2 دانشجوی دکترای مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
When the past observations are correlated with future observations and their correlation is significant, the time series has long memory. In this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated. The basic model is BEKK (1, 1) and FBEKK (1,d,1), Model extended long-run memory parameter (d) is considered and estimated. Furthermore in this paper price index of three industries in Tehran Stock Exchange consisting Automobile and Accessories Industry index, Financial Intermediaries (Leasing) and Machinery and Equipment index is employed in empirical modeling. The results indicates that FBEKK (1, d, 1) is more precise and compatible with basic Theories in Economics.
کلیدواژهها [English]
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