A Comparison of the Forecasting Performance between GARCH and Implied Volatility Models
碩士 === 淡江大學 === 財務金融學系 === 87 === Volatility forecasting is very important to derivative pricing, hedging, and risk management. The introduction of option market might provide new information regarding the market''s consensus of future volatility. Previous empirical results on the forecast...
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| Format: | Others |
| Language: | zh-TW |
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1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67696532063274292945 |