Assistant Professor, Economics, University of Tehran
Abstract
This paper uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude there is no evidence of symmetric effect in TSM. The EGARCH model passes all the tests and appears to be the most adequate characterization of the underlying data generating process.
