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Analysis of Volatility Feedback in Tehran Stock Exchange

Esmaiel Abounoori; Mani Motameni

Volume 7, Issue 27 , January 2008, , Pages 247-261

Abstract
  The volatility feedback has been tested, using the Tehran Stock Exchange (TSE) returns, during 1992-2006. According to the theory, predictable volatility has a positive and significant effect, while the unpredicted volatility will reduce the stock returns. In order to test the hypothesis, the EGARCH-M ...  Read More