investigating the nonlinear effects of price and volatility in gold, oil and exchange rate on the stock price index in iran (using nardl and mrs-garch methods)

The purpose of this study is to investigate the nonlinear effects ofprices and the volatility of gold, oil, and exchange rate variables on thestock price index in iran from march 2008 to april 2019. in this regard,first, the volatility of oil, gold, exchange rate and stock price indexvariables are calculated using the mrs-garch technique and thenthe relationship between these variables is investigated using anonlinear autoregressive distributed lag model (nardl). theresults indicate that oil and gold price variables have positive andnegative effects in the short and long run on the stock price index iniran, but the volatility of these two variables does not have a significanteffect on the stock price index. the results also show that exchangerate depreciation exerts a negative and significant effect on the stockprice index in the short and long run, but the exchange rate increase inboth periods does not have a significant effect on the stock market.therefore, the exchange rate has an asymmetric effect on the stockprice index, while the results indicate the positive and significant effectof volatility of stock price index on the stock price index.