The optimal investment policy of TEO－the application of tree-base Model and volatility Model

• Main Authors: Chen Ke-Chin, 陳科縉
• Other Authors: Wei Wen-Chin
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/31781966966305640996

碩士 === 大葉大學 === 事業經營研究所 === 95 === This study aims to understand to what extent the historical volatility rate and the GRACH volatility rate can predict the real volatility rate, and take TEO as research criteria. The result indicates in the TEO, no matter how many days there are in a single period, the MAE performs the best for the GARCH volatility rate; however in the RMSE test, under the same conditions, the GARCH volatility rate shows the same result. Moreover, this study again used the binomial tree model analysis with the history volatility rate and the GARCH volatility rate to test the real volatility rate. The result showed that both prices estimated by the historical volatility rate and the GARCH volatility rate are considerably close to the real price, whereas when the researcher applying Bias analysis the deviating from rate analysis, the history volatility performed the best and the error of the real volatility is close to 0. However, both prices estimated by the history volatility rate and the GARCH volatility rate have high referential value. By applying graphic analysis, the researcher discovered the historical volatility rate is higher than the real volatility rate, but it’s only three to four days faster. The GARCH volatility rate on the other hand, has a lower rate; however it’s only one or two days behind. Such information is relatively important to the investors, therefore the researcher suggests the investors take historical volatility rate as the best policy-making model.