The Effect of Volatility Temporal Changes on the Predictability and Return of Optimal Portfolio Using the DMA Model

According to most  nancial experts, it is not possible to study the predictability of stock prices without considering the risks affecting stock returns. On the other hand, identifying risks requires determining the share of risk in the total risk and the probability of risk occurrence in different regimes. Accordingly, different DMA models with full dynamics compared to TVP-BMA, BMA and TVP models have been used in the present study to provide this predictability. Findings showed that the DMA model is more efficient than other research models based on MAFE and MSFE indices. The present research was conducted in the period of ۱-۲۰۰۳ to ۱۲-۲۰۱۳ (including ۱۴۴ periods) and was implemented in MATLAB ۲۰۱۴ software space. As the research results show, the bank interest rate coefficient in ۴۵ periods, the  rst lag rate of the bank in terest rate in ۳۷ periods, the in ation rate coefficient in ۱۷ periods,  rst lag coefficient of in ation rate in ۲۶ periods, oil price coefficient in ۷۸ periods,  rst lag rate of oil price in ۸۵ periods, exchange rate coefficient in ۶۴ periods and  rst lag rate of the exchange rate in ۳۵ periods have a signi cant effect on stock returns. The  nal conclusion shows that the stock variables of oil price and the exchange rate had the highest impact on stock returns during the studied period.

کلیدواژه ها:

Volatility Temporal ، Predictability ، Optimal Portfolio ، Stock Returns ، DMA Model