An Analysis of Relationship between the Stock Market and the Index Options Market in Taiwan
碩士 === 國立臺灣海洋大學 === 應用經濟研究所 === 92 === This article uses the intraday data of TAIEX index to estimate the real volatility of the return of TAIEX index in 2003 and to compare the performance of the estimated volatility which is estimated by GRACH(1,1) model and the implied volatility model calculated...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71502735062145005888 |