The Formulation of an asymmetry GARCH Model:an Empirical Study in Taiwan Stock Market

博士 === 國立中山大學 === 企業管理研究所 === 86 === This thesis proposes a Threshold-Switching GARCH model which allows an asymmetric reaction of the conditional volatility to the arrival of news. In the Threshold-Switching GARCH model the method of capturing an asymmetric reaction is induced by both the slope and...

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Bibliographic Details
Main Authors: Lin Chu-Hsiung, 林楚雄
Other Authors: Victor W. Liu
Format: Others
Language:zh-TW
Published: 1998
Online Access:http://ndltd.ncl.edu.tw/handle/96734638951981832948