A Study of Applying Asymmetric GARCH Model to Taiwan Stock Market
碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === Black(1976) confirmed that stock market volatility is asymmetric in its response to news。The GARCH model doesn’t allow good news and bad news to have a different impact on volatility, so we adopt the asymmetric GARCH model instead of GARCH model. The article re...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30014516259703615579 |