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Chaos Analysis, Wavelet Decomposition and the Performance of Neural Network Models in Forecasting Tehran Stock Exchange Index
Esmaeil Naderi, Dr Hossein Abbasi-Nejad,
Volume 3, Issue 8 (6-2012)
Abstract

This study investigates predictability, chaos analysis, wavelet decomposition and the performance of neural network models in forecasting the return series of the Tehran Stock Exchange Index (TEDPIX). For this purpose, the daily data from April 24, 2009 to May 3, 2012 is used. Results show that TEDPIX series is chaotic and predictable with nonlinear effect. Also, according to obtained inverse of the largest lyapunov exponent, we are able to predict the future values of the series up to 31 days. Besides, our findings suggest that multi-layer feed forward neural network model and fuzzy model based on decomposed data, are of superior performances in predicting the return series. It is worth mentioning that, among these models, MFNN reveals the best performance.


Investigating the impact of monetary, financial and exchange market conditions on fuel smuggling in the Iranian economy using the SVAR model
Mrs Zahra Hashemi, Prof Nazar Dahmarde,
Volume 15, Issue 55 (5-2024)
Abstract
The article examines the impact of monetary, financial and exchange market pressure indexes on fuel and petroleum products smuggling in Iran's economy by applying SVAR structural vector autoregression model based on seasonal data of 1390-1400. the model results show that the impulse response from the domestic and FOB Persian Gulf price difference of petroleum products, fuel smuggling constantly aggravates and its effect is increasing. In addition, the impulse response of the financial condition index and monetary conditional index is not very important, and the impulse from the exchange market pressure index has a negative effect at first, and after 5 periods of shock, it becomes zero and its effect becomes positive.
The results of the variance decomposition analysis show that in different periods, the fluctuations of the fuel smuggling variable are explained by the difference between domestic and FOB Persian Gulf price differenence of petroleum products. In fact, fixing the domestic oil products price below the export parity price is a very inefficient way to subsidize domestic oil consumption. In addition to the waste caused by low price, it has provided rents for smugglers and worsens the country's fiscal imbalance.

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