International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Predicting the Volatility Spillover in the Tehran Stock Exchange Market with Heston Switching Copula Model

Document Type : Original Article

Authors
Soheil Salimi Nasab 1
Gholamhosein Golarzi 1
abdolsadeh Neisy 2
1 Department of economic and management, Semnan University, Semnan, Iran
2 Department of Mathematics, Faculty of Statistics, Mathematics & Computer, Allameh Tabataba’i University, Tehran, Iran
10.30495/ijfma.2024.75796.2070
Abstract
This article investigates the effects of global markets of gold, currency, metals, crude oil, and digital currency on the Tehran Stock Exchange and analyzes the spillover risk of these markets on the Tehran Stock Exchange. The research utilizes a combination of marginal models and copula models. The marginal models used include the stochastic volatility model, the Markov switching model, and the. The copula models include the normal, T Student, Clayton, Frank, and Gumbel model. The data used in this study are the daily values of the mentioned markets from December 2011 to January 2023. The results show that the aforementioned global markets have influence the Tehran Stock Exchange and the fluctuations occurring in these markets cause a reaction in the Tehran Stock Exchange index. The extent of this influence is also calculated using conditional Value at Risk (VaR). Considering the limitations of the stochastic volatility model and the Markov switching model, the Heston switching model is suggested as a marginal model, and the combination of this model with copula models can provide appropriate results.
Keywords
Heston switching copula model
Markov switching copula Model
Copula
Spillover
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