Accuracy of forecasting volatility bythe GARCH-jump mixture mode
碩士 === 國立中央大學 === 財務金融研究所 === 94 === In the thesis, the S&P 500 index is used to compare the accuracy of forecasting volatility by the GARCH-Jump model developed by Maheu and Mccurdy (2004) relative to the benchmark GJR-GARCH model with normal distribution. We use the criteria of , MSE, and P t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40632391885668026272 |