ABSTRACT

The purpose of this study is to design a financial stress index to predict the occurrence of financial crisis in the Tehran Stock Exchange. In this paper, a composite index has been designed to measure the Iranian financial system and the effects of financial volatility in conditions of uncertainty in the financial markets and the Tehran Stock Exchange between 2008 and 2020. Volatility Index of currency, stock exchange and banking industry are the three main components in the design of this model. Since in the previous research, the shock of variables was used. In this research, while using the volatility of these variables, a comprehensive index regarding the volatility of currency, stock exchange and banking industry has been considered. This research is conducted in five steps based on the GHARCH-DCC approach and finally, based on the variables of financial institutions, a predictive model for the financial stress index is presented. From the results, we find that all the independent variables of the research have a significant effect on the financial stress index, except for the volatility of the coin market, which has a negative effect; the other independent variables have a positive effect on the financial stress index.

摘要

本研究的目的是设计一个金融压力指数来预测德黑兰证券交易所金融危机的发生。在本文中，设计了一个综合指数来衡量伊朗金融体系以及 2008 年至 2020 年间金融市场和德黑兰证券交易所不确定条件下金融波动的影响。货币、证券交易所和银行业的波动率指数是该模型设计中的三个主要组成部分。由于在之前的研究中，使用了变量的冲击。在这项研究中，在使用这些变量的波动性的同时，考虑了一个关于货币、证券交易所和银行业波动性的综合指数。这项研究基于 GHARCH-DCC 方法分五个步骤进行，最后，基于金融机构变量，提出了金融压力指数的预测模型。从结果来看，我们发现研究的所有自变量都对财务压力指数有显着影响，除了硬币市场的波动性有负面影响；其他自变量对财务压力指数有正向影响。