Expected rate of turn modeling in Iran Stock Exchange with future Contract
Author(s):
Abstract:
Interest rate & required rate of return are known as building blocks of financial investment analysis and engineering economic.
In lack of fixed income instrument in Iran, every investor and analyser has a uncertainty about interest rate and required rate of return, its behavior and futures paths . in this paper we are about to use futures gold contracts in order to find a rate that can be supposed as required rate of return of the market performing or a kind of short interest rates. In the next step we tend to model the obtained rate.
At last we conclude that the required rate of return gained in this way can be well modeled by Equilibrium models better than Garch models do.
In lack of fixed income instrument in Iran, every investor and analyser has a uncertainty about interest rate and required rate of return, its behavior and futures paths . in this paper we are about to use futures gold contracts in order to find a rate that can be supposed as required rate of return of the market performing or a kind of short interest rates. In the next step we tend to model the obtained rate.
At last we conclude that the required rate of return gained in this way can be well modeled by Equilibrium models better than Garch models do.
Keywords:
Language:
Persian
Published:
Financial Engineering and Protfolio Management, Volume:6 Issue: 25, 2016
Page:
141
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