Sensitivity Analysis of Oil Market and Parallel Financial Markets in Iran’s Economy (Dynamic and MV-GARCH Model Approach)

Abstract

This study aimed to analyze the sensitivity of the oil market and its effects on financial markets in Iran, using dynamic systems and MV-GARCH models from 2008 to 2025. Accordingly, first the data related to the oil, gold, stock and currency sectors were extracted from the data collected from the World Bank, the Central Bank and the Statistics Center of Iran. In order to evaluate the flow of data into statistical analysis and simulation software, these data were extracted. In this study, some scenarios were designed for further analyses and sensitivity analysis. Based on the results, the existence of turbulence in the oil markets causes fluctuations in the parallel financial markets in Iran. Due to the stability of these fluctuations, prices have not returned to the previous state and maintain their increased trend. The presence of fluctuations in the exchange, oil and gold markets is more effective, and the exchange market is affected by these markets due to the lack of development in Iran, and it cannot serve as a protective agent against other sectors of the economy.