Mehdi Rezaei; Najmeh Neshat; Abbasali Jafari Nodoushan; Amir Mohammad Ahmadzade semeskande
Abstract
In this research, we investigated the interactive effects between the macroeconomic variables of currency, gold, and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices. ...
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In this research, we investigated the interactive effects between the macroeconomic variables of currency, gold, and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices. In this regard, the analysis of Pearson correlation and regression coefficients have been used to investigate the existence of an interactive effect among them, and a Multi-Layer Perceptron Neural Network (MLP NN) model has been used to simulate this effect. The models have been fitted as a time series based on the daily data related to the economic variables and the mentioned indicators during march 2016 to that of 2021. Investigating the interactive effects between variables has been done using SPSS statistical software, and Artificial Neural Network (ANN) simulation developed in MATLAB programming environment. The extracted results indicate the existence of an interactive effect among these economic variables. The simulation results show the high ability of ANN in modeling and predicting the total price and equal-weighted indices, and this model has been able to make more accurate predictions by considering these interactive effects as well.
Nafiseh Shahmoradi; Hasan Ghalibaf Asl
Abstract
A large number of investors have been attracted to the Iran Mercantile Exchange as a result of launching Bahar Azadi Coin future contracts, also known as gold coin future contracts, since 2007. The nature of gold price as a physical-commodity and financial asset, as well as other contributing factors ...
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A large number of investors have been attracted to the Iran Mercantile Exchange as a result of launching Bahar Azadi Coin future contracts, also known as gold coin future contracts, since 2007. The nature of gold price as a physical-commodity and financial asset, as well as other contributing factors to the gold futures market, extremely complicates the analysis of the relationship between the underlying variables.One of the methods to forecast the price volatility is the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. However, the high percentage of errors in such prediction has forced researchers to apply a variety of techniques in the hope of more accurate projections. Similarly, in this study, a hybrid model of the GARCH and Artificial Neural Network model (ANN) was used to predict the volatility of gold coin spot and future prices in the Iran Mercantile Exchange.In this study, variables such as global gold price, spot or future gold coin price (depending on which one is analyzed), US Dollar/IR Rial, world price of OPEC crude oil, and Tehran Stock Exchange Index were considered as factors affecting the price of gold coin. The results of the study indicate that the ANN-GARCH model provides a better prediction model compared to the Autoregressive models. Moreover, the ANN-GARCH model was utilized to compare the predictive power of spot and future gold coin prices, and it revealed that gold coin future price fluctuations predicted spot price of gold coin more accurately.
