Volatility of Futures Contract in Iran Mercantile Market

Most financial theories are relying on estimation of volatility. Volatility is not directly observable and must be estimated. In this research we investigate the volatility of gold, trading as a futures contract on the Iran Mercantile Exchange (IME) using intraday (high frequency) data from 5 January 2009 to May 2012. This paper uses several models for the calculation of volatility based on range prices. The results show that a simple measure of volatility (defined as the first logarithmic difference between the high and low prices) overestimates the other three measures. Comparing values of RMSE, MSE, MAD and MAPE we find out that Garman-Klass and Rogers-Satchell Models are more accurate estimator of volatility. Keywords: volatility, range-based models, futures contract

Identifying the Effects of Anticipated Benefit on the Price of Accepted Companies in Tehran Stock Exchange

ABSTRACT The rate of profitability is one of the most important evaluating criteria of companies from investors' views.For this reasonthis study used method of estimating model based on panel data, this compound method is acquired from information during 9 years (2001, 2009) and cross-sectional data of 140 companies that are accepted in Tehran Stock Market and this model is in the form of a logarithm function. Results of this study show that there is a positive relationship between anticipated benefit and share price