THE ESTIMATION OF SECURITY PRICE VOLATILITIES IN THE TAIWAN STOCK MARKET
碩士 === 國立高雄師範大學 === 數學系 === 91 === This paper presents a simple estimation for security prices volatility.The method we propose to use is an extension of the price derivatives with respect to the constant volatility. First, we select 27 individual stock of the Taiwan stock Exch...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59168766403586264774 |
| Summary: | 碩士 === 國立高雄師範大學 === 數學系 === 91 === This paper presents a simple estimation for security prices volatility.The method we propose to use is an extension of the price derivatives with respect to the constant volatility.
First, we select 27 individual stock of the Taiwan stock Exchange Market from January 1991 to December 2000
to examine the constancy of the variance of the price changes and of the returns using the model Garman and Klass(1980) mentioned. Second, we extend the model Garman and Klass addressed and give two estimators of the volatility.
Finally, we give the efficient estimator of the 27 stock indices.
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