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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1998
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96734638951981832948 |