Minoo Nazifi Naeini, Dr Shahram Fatahi, Dr Saeed Samadi,
Volume 3, Issue 9 (10-2012)
Abstract
In this study we compare a set of Markov Regime-Switching GARCH models in terms of their ability to forecast the Tehran stock market volatility at different time intervals. SW-GARCH models have been used to avoid the excessive persistence that usually found in GARCH models. In SW-GARCH models all parameters are allowed to switch between a low or high volatility regimes. Both Gaussian and fat-tailed conditional distributions are assumed for the residuals, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. Using stationary bootstrap and re-sampling, the forecasting performances of the competing models are evaluated by statistical loss functions. The empirical analysis demonstrates that SW-GARCH models outperform all standard GARCH models in forecasting volatility. Also, the SW-GARCH model with the t distribution for errors has the best performance in fitting a model and estimation.
Saeed Eisazadeh, Mohammad Kazem Naziri, Hadi Naeini,
Volume 8, Issue 30 (12-2017)
Abstract
One of the causes of unemployment is lack of fit between individual skill and needs for skills in the community. The situation of mismatch between the demand and supply of labour, particularly in terms of skills is defined as structural unemployment. Therefore, in this study quantitatively explores the impact of skill mismatches one of the main parameters of structural unemployment on unemployment rate. For this purpose of information available in the Labour Force Survey from 2006 to 2013 is used. Skill mismatch index is calculated from the root mean square error in supply and demand for skills. According to results of this study, skill mismatch have a significantly and positively effects on the unemployment rate. So thata1%increase in skill mismatch index led to an increase in the unemployment rate will be 0.13%. Therefore, creating exact information about job vacancies , reforming the contexts of courses and creating new fields in new areas according to necessities of entrepreneurs in order to updating of applicants knowledge should be mentioned.
