Return and Volatility in Tehran Stock Exchange
Seyed Hossein Miri, Ph.D.
Department of Accounting, Islamic Azad University, Semnan Branch, Semnan, Iran
Abstract: The aim of this paper is considering the relationship between return and volatility in Tehran Stock Exchange. We have used the daily data of price index of TSE during 2009-2010. The data are available on website of TSE. We have estimated ARMA (1, 1)-GARCH (1, 1) model for estimation volatility of Tehran stock exchange. Results indicate that there is a negative relationship between volatility and rate of return in TSE. The correlation coefficient between volatility and return is -0.00182. The hypothesis of “return does not Granger Cause volatility” has rejected. Also, the hypothesis of volatility does not Granger because return has not rejected.
[Seyed Hossein Miri. Return and Volatility in Tehran Stock Exchange. Life Sci J 2013;10(1):1255-1259] (ISSN:1097-8135). http://www.lifesciencesite.com.
Keywords: Return, Volatility, Tehran Stock Exchange.