The Dynamics of Stock Price Volatility : Empirical Evidence from Taiwan
碩士 === 南華大學 === 經濟學研究所 === 92 === This paper examines the volatility of daily stock market returns in Taiwan using a Markov Switching Autoregressive Conditional Heteroscedastic (SWARCH) model developed by Hamilton and Susmel (1994). Conventional ARCH models usually exist the highly persistence to co...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/41844734835068387877 |