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International Journal of Engineering، جلد ۳۰، شماره ۲، صفحات ۲۷۰-۲۸۰
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عنوان انگلیسی Monitoring Financial Processes with ARMA-GARCH Model Based on Shewhart Control Chart (Case Study: Tehran Stock Exchange)
چکیده انگلیسی مقاله Financial surveillance is an interesting area after financial crisis in recent years. In this subject, important financial indices are monitored using control charts. Control chart is a powerful instrument for detecting assignable causes which is considerably developed in industrial and service environments. In this paper, a monitoring procedure based on Shewhart control chart is proposed to monitor financial processes modeled with ARMA-GARCH time series structure. The effect of parameter estimation and power of change detection are evaluated through simulation studies. Then, the proposed method is applied to monitor Tehran Stock Exchange price index (TEPIX) as the main motivation of this research. The obtained results show the ability of the proposed method in comparison with market analysis.
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نویسندگان مقاله Hojatollah Sadeghi |
Department of Business Management, Yazd University

Mohammad Saleh Owlia |
Department of Industrial Engineering, Yazd University

Mohammad Hadi Doroudyan |
Industrial Engineering Department, Yazd University

Amirhossein Amiri |
Industrial Engineering, Shahed University

نشانی اینترنتی http://www.ije.ir/article_72885_05aeb5dc10ae2ff516bc383af4e55bfb.pdf
فایل مقاله اشکال در دسترسی به فایل - ./files/site1/rds_journals/409/article-409-2062156.pdf
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زبان مقاله منتشر شده en
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