Investigating the Stock Return Volatilities of Petrochemical Companies by Using GARCH-Family Models: A Case Study of Khark, Fannavaran, Arak , Shiraz, Farabi, and Abadan Companies

Abstract

The Purpose of this study was to compare the stock return volatilities of some petrochemical companies by using GARCH-family models. Depending on the target application and method of obtaining the required data from among the studies performed, this research was of a descriptive type. The study was conducted on Khark, Abadan, Shiraz, Fannavaran, Farabi, and Arak petrochemical companies during October 1, 2008 to September 23, 2013.The research tools included the data related to the daily stock prices of the samples. 5 data sets were extracted from Tehran Stock Exchange Website on a weekly basis. To analyze the data, a correlation analysis method and a self-regression model providing Generalized Autoregressive Conditional Heteroskedasticity(GARCH) were utilized. Besides, stability and L jung-Boxtest, R/S statistics, and GPH were employed. The Results showed FI-GARCH model is more efficient than I-GARCH techniques for the assessment of the stock return volatilities of petrochemical companies. Keywords: stock return volatility, petrochemical companies, GARCH family.