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Day-ahead electricity price forecasting with emphasis on its volatility in Iran (GARCH combined with ARIMA models)

Pourghorban, Mojtaba; Mamipour, Siab - 2019

environment, electricity price forecasting is an essential task for market participants. However, time series of electricity price … has complex behavior such as nonlinearity, nonstationarity, and high volatility. ARIMA is suitable in forecasting, but it … volatility in the in time series forecasting. The proposed method is computed using the daily electricity price data of Iran …

Persistent link: https://www.econbiz.de/10015264450

بررسی تأثیر نااطمینانی قیمت نفت خام بر رشد بخش صنعت و معدن در ایران کاربردی از مدل‌های تبدیل مارکف

Heidari, Hassan; Babaei Balderlou, Saharnaz - 2014

This paper investigates the impact of the crude oil price uncertainty on the growth of Industry and Mine sector in Iran over the period of 1367:1 to 1389:4. We applied Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) Model to generate the crude oil price uncertainty...

Persistent link: https://www.econbiz.de/10015256117

بررسی اثرگذاری واردات کالاهای مصرفی، واسطه‌ای و سرمایه‌ای در روند انتقال نوسانات قیمت نفت خام به بخش صنعت و معدن در ایران

Heidari, Hassan; Babaei Balderlou, Saharnaz; Ebrahimi … - 2016

In this research, the DCC model is estimated to calculate dynamic correlation series between crude oil price and growth of Industry and Mine sector during 1367:1-1392:4. Then, Macroeconomic variables which can explain the dynamic correlation are analyzed as variables of contagion. So, the...

Persistent link: https://www.econbiz.de/10015256121

تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران

Babaei Balderlou, Saharnaz; Ebrahimi Torki, Mahyar; … - 2013

This paper evaluates dynamic correlation between growth of Industry and Mine sector and crude oil price in Iran over the period of 1367:1 to 1389:4, with emphasis on the origin of oil price shocks. We apply Dynamic Conditional Correlation (DCC) model to estimate dynamic correlation. Our results...

Persistent link: https://www.econbiz.de/10015256130

Investigating Economic Effects of Oil Export Reduction: A Financial Computable General Equilibrium Approach

Haqiqi, Iman; Bahador, Ali - 2015

In this paper, using a static Financial Computable General Equilibrium (FCGE) model we investigate the effects of oil export decline on GDP, private consumption, investment, government expenditure and production of different sectors in Iran's economy. We consider zero profit conditions, market...

Persistent link: https://www.econbiz.de/10015265014

Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform

Golmohammadpoor Azar, Kamran - 2014

Nowadays financial markets such as stock markets, gold and currency because of their significant returns are the investors’ main target. Their aim is to invest in a way that they can earn the highest profit. Among these markets, the stock market is of utmost importance since it deals with...

Persistent link: https://www.econbiz.de/10015244159