چکیده:
In this paper, we have examined abrupt changes in volatility of TEPIX index in Tehran stock exchange during August 23, 2010 to June 12, 2014. Applying the iterated cumulative sum of squares (ICSS) algorithm proposed by Inclan and Tiao (1994) and the modified version of this algorithm consisting Kappa 1 and Kappa 2 test statistics developed by Sansó et al. (2004), we have specified that the detection of abrupt changes are mainly explained by local economic and political factors and probably they are behind those changes. This finding is in line with that of Aggarwal et al. (1999) who discovered that country-specific factors play a key role in determining those sudden shifts in financial markets. In addition, the results of this study ratify the findings of the previous ones suggesting that, when the abrupt changes are embedded into standard GARCH models, the estimated persistence of volatility is decreased significantly.
خلاصه ماشینی:
In addition, the results of this study ratify the findingsof the previous ones suggesting that, when the abrupt changes areembedded into standard GARCH models, the estimated persistence ofvolatility is decreased significantly .
While those monetary regime shifts exogenously specified, Hamilton and Susmel (1994) and Cai (1994) applied a Markov Switching-ARCH model (or SWARCH) and specified the structural changes in the financial time series endogenously.
Therefore, in this paper, besides applying the ICSS algorithm of Inclan and Tiao (1994) to detect the change points in volatility, we have tried using an alternative method that can handle those mentioned limitations.
Hammoudeh and Li (2008) investigate sudden changes in volatility in the Gulf Arab stock markets by applying the iterated cumulative sums of squares (ICSS) algorithm proposed by Inclan and Tiao (1994).
Applying the ICSS algorithm of Inclan and Tiao (1994), they specify that the detection of sudden changes is generally connected to global financial and political events.
Todea and Petrescu (2012) investigate sudden changes in volatility in five investment companies in Romania by applying the ICSS algorithm suggested by Inclan and Tiao (1994).
They follow the previous works, especially the work of Wang and Moore (2009), who studied stock market returns in five Central and Eastern European countries by applying Iterated Cumulative Sum of Squares (ICSS) algorithm proposed by Inclan and Tiao (1994).
However, the other test statistics (Kappa 1 (k1 )) represented that, similar to the ICSS algorithm of Inclan and Tiao (1994), there are six abrupt changes in volatility, which caused to creation of seven different shift regimes.