مقایسه شدت تقارن حافظه بلندمدت در بازده شاخص بازار سرمایه و سکه بهار آزادی: رویکرد ARFIMA–FIGARCH
کلمات کلیدی:
حافظه بلندمدت, ARFIMA, FIGARCH, EGARCH, بازارهای مالی ایرانچکیده
هدف: هدف پژوهش، مقایسه ساختار حافظه بلندمدت در بازده و نوسانات شاخص کل بورس اوراق بهادار تهران و قیمت سکه بهار آزادی است. روششناسی: این مطالعه از دادههای روزانه شاخص کل بورس و قیمت سکه بهار آزادی در دوره آذر 1387 تا شهریور 1404 استفاده کرده و با اتکا بر مدل ARFIMA، حافظه بلندمدت در میانگین، و با بهکارگیری مدل FIGARCH، حافظه بلندمدت در واریانس را تحلیل کرده است. همچنین برای بررسی واکنشهای نامتقارن بازارها نسبت به اخبار مثبت و منفی، مدل EGARCH تخمین زده شده است. آزمونهای ADF و PP برای بررسی مانایی و برآورد پارامترهای کسری (d) جهت تعیین شدت حافظه بلندمدت مورد استفاده قرار گرفتند. یافتهها: نتایج نشان داد که هر دو بازار دارای حافظه بلندمدت در بازده و نوسانات هستند؛ اما شدت حافظه در بازار سکه قویتر است. در مدل ARFIMA، پارامتر d برای TEPIX برابر 0.25 و برای سکه برابر 0.38 برآورد شد. در مدل FIGARCH نیز مقدار d برای بورس 0.31 و برای سکه 0.47 بود که نشاندهنده تداوم بیشتر نوسانات در بازار سکه است. همچنین نتایج مدل EGARCH بیان کرد که بازار سکه نسبت به اخبار منفی واکنش نامتقارن و شدیدتری نشان میدهد، در حالی که شاخص بورس واکنشی نسبتاً متقارن دارد. نتیجهگیری: پژوهش نشان داد بازار سکه بهطور معناداری تحت تأثیر شوکهای گذشته قرار دارد و نوسانات آن پایداری بیشتری دارد. وجود حافظه بلندمدت و واکنشهای نامتقارن در بازار سکه، در مقایسه با بورس، اهمیت توجه به ویژگیهای رفتاری متفاوت این دو بازار را برای سرمایهگذاران و سیاستگذاران اقتصادی برجسته میسازد.
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حق نشر 2026 Mojtaba Abolhasani Pourashkzar, Ahmad Sarlak, Teymor Mohammadi, Gholamali Haji (Author)

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