Efficiency of dynamic econometric models to cover the cross-risk of stock returns and coin futures contracts In the capital market of Tehran

The purpose of this study is to investigate the efficiency of dynamic econometric models (BEKK-GARCH, CCC-GARCH) to cover the cross-risk of stock returns and coin futures contracts on the Tehran Stock Exchange using daily data during the years 1392-1392. Therefore, the researcher has used BEKK-GARCH model and CCC-GARCH model to determine the efficiency of different Garge models for cross-coverage of stock market return risk using coin futures contract. According to the estimation of symmetric Garch models in the present study, it was found that both cross-coverage of stock market risk and equity symmetric Garc models can be used to cover the risk in the stock market using coin futures contracts. On the other hand, considering that the coefficient of determination in the VAR-BEKK model is greater than the coefficient of determination in the CCC-GARCH model, so the VAR-BEKK model is more efficient than the CCC-GARCH model. Also, based on the coefficients obtained in these two models, considering that in the second equation of the CCC-GARCH model and the insignificance of stock market return coefficients in the previous period and the previous two periods and its lack of impact on coin futures contract returns, the model can be concluded. VAR-BEKK is more efficient than CCC-GARCH model