Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

Shaghayegh Mahboubi Zadeh; Hassan Ghalibaf Asl

Volume 5, Issue 1 , January 2021, , Pages 61-90

  Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models ...  Read More

Comparing Prediction Methods of Artificial Neural Networks in Extracting Financial Cycles of Tehran Stock Exchange based on Markov Switching and Ant Colony Algorithm

Farzaneh Abdollahian; Mohammad Ebrahim Mohammad Pourzarandi; Mehrzad Minouei; Seyed Mohammad Hasheminejad

Volume 3, Issue 2 , 2019, , Pages 1-24

  The stock exchange is considered to be an important establishment to finance long term projects, on one hand, and to collect savings and finance of private section. The stock exchange can be a safe and secure place to invest surplus funds to purchase corporate stocks. As recession and prosperity in this ...  Read More