Monitoring Financial Processes with ARMA-GARCH Model Based on Shewhart Control Chart (Case Study: Tehran Stock Exchange)

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 envi...

Full description

Saved in:
Bibliographic Details
Published inInternational journal of engineering (Tehran) Vol. 30; no. 2; pp. 270 - 280
Main Authors Doroudyan, M H, Owlia, M S, Sadeghi, H, Amiri, A
Format Journal Article
LanguageEnglish
Published 01.02.2017
Subjects
Computer simulation
Control charts
Markets
Monitoring
Monitors
Stock exchanges
Surveillance
Time series
Online AccessGet full text
ISSN1728-144X
1025-2495
1735-9244
DOI10.5829/idosi.ije.2017.30.02b.14

Cover

More Information
Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:1728-144X
1025-2495
1735-9244
DOI:10.5829/idosi.ije.2017.30.02b.14